Ethnography and fiction have long been in dialogue in their common endeavor to understand human life and through their shared foundation on writing. Recently, anthropologists and sociologists have expressed concern that the worlds they study might be depicted more compellingly, accurately, and profoundly by novelists or filmmakers than by social scientists. Discussing my work on the embodiment of history in South Africa and on urban policing in France in light of, respectively, J. M. Coetzee's novel The Life & Times of Michael K and David Simon's television series The Wire, I analyze their commonalities and singularities. Using Marcel Proust's meditation on life and suggesting the heuristic value of distinguishing true life from real lives, I propose, first, to differentiate horizontal and vertical approaches to lives and, second, to complicate the dichotomy associating ethnography with the former and fiction with the latter. This reflection, which borrows from Georges Perec's rumination on the puzzle-maker, can be read as a defense of ethnography against a certain prevailing pessimism.