Many rural areas in southern Europe have long suffered from outward migration but have recently been attracting new types of in-migration. This includes lifestyle migrant entrepreneurs (LMEs) seeking ways of improving their own quality of life and, at the same time, bringing new projects which aim to build on the potential and resources for rural tourism in their chosen destination place. Drawing on data from in-depth research interviews with LMEs and other stakeholders, this article stems from a research project focused on exploring tourism-related entrepreneurial lifestyle migration in the rural Algarve, in southern Portugal. Although this type of migration has often been identified as a potential driver for the sustainable development of both tourism activities and rural areas, this study focuses on the challenges identified, principally by the LMEs themselves, as regards the setting up, operationalisation and continuing activities of tourism-related businesses in rural areas of the Algarve. A variety of challenges were detected, at the micro-, meso- and macro-levels of the entrepreneurial migration process. The most recurrent problem faced is the level of bureaucracy and the difficulties encountered in legal processes. Although this is sometimes due to the language barrier, it is also related to the lack of clear information on procedures and the lack of specialised support. This finding points to the need for a greater level of cooperation and communication among the various stakeholders to ensure a more sustainable development of tourism in these rural areas.