This article offers an evaluation of cross-national measures of ethnic socio-economic inequality. It demonstrates that the measures differ in important ways regarding empirical scope, conceptualization, measurement and aggregation. Despite significant advances in the measurement of ethnic inequality, all measures have shortcomings, such as limited and biased coverage, as well as measurement error from the underlying data sources. Moreover, the empirical convergence between conceptually similar measures is strikingly low: some of the measures show no or even negative covariation. Four replication studies also indicate that extant measures of ethnic inequality are generally not interchangeable. Scholars should therefore take the various features highlighted in this evaluation into account before employing any of them. Based on this conclusion, the article offers multiple suggestions for improving existing measures and developing new ones.