The human brain evolved to function and survive in a highly stimulating, complex and fast-changing world. Attempting to ascertain the neural substrates of operating in naturalistic contexts represents a huge challenge. Recently, however, researchers have begun to use several innovative analysis methods to interrogate functional magnetic resonance imaging (fMRI) data collected during dynamic naturalistic tasks. Central to these new developments is the inventive approach taken to segregating neural activity linked to specific events within the overall continuous stream of complex stimulation. In this review, we discuss the recent literature, detailing the key studies and their methods. These analytical techniques can be applied in a wide range of cognitive domains and, thus, offer exciting new opportunities for gaining insights into the brain bases of thoughts and behaviours in the real-world setting where they normally occur.