The literature on teaching research methods to social work students identifies many challenges, such as dealing with the tensions related to producing research relevant to practice, access to data to teach practice-based research, and limited student interest in learning research methods. This is an exploratory study of the learning experiences of ten MSW students involved in a yearlong research methods course that utilized research data in a research unit located inside a school of social welfare and facilitated by doctoral level project coordinators. Based on hands-on experiences related to data analysis, interpretation of findings, and report writing, three themes emerged from the students' learning experiences: "interaction between research and practice, research supervision, and peer collaboration." These themes provided the foundation for identifying the facilitators and obstacles of learning and engagement that inform the study's implications for integrating student learning based on the use of agency data that can inform agency practitioners through participatory approaches to learning.