Due to the methodological challenges inherent in studying social media use (SMU), as well as the methodological choices that have shaped research into the effects of SMU on well-being, clear conclusions regarding relationships between SMU and well-being remain elusive. We provide a review of five methodological developments poised to provide increased understanding in this domain: (a) increased use of longitudinal and experimental designs; (b) the adoption of behavioural (rather than self-report) measures of SMU; (c) focusing on more nuanced aspects of SMU; (d) embracing effect heterogeneity; and (e) the use of formal modelling and machine learning. We focus on how these advances stand to bring us closer to understanding relations between SMU and well-being, as well as the challenges associated with these developments.