In this chapter, the possibility offered by qualitative methods, especially those that proceed with “bottom-up” analysis strategies, to construct conceptual or theoretical models from rigorous discovery-oriented research will be reviewed. The process of constructing conceptual models is exemplified through a model of psychotherapeutic change that was built in successive steps over nearly three decades of research and was operationalized through “Generic Change Indicators.” The chapter shows, with examples from different moments of the construction of this model, how the methodological process alternates between phases oriented toward discovery and model construction and phases focused on its validation. Thus, it shows how these different emphases lead to the use of qualitative or quantitative methodology, depending on the evolution of the research questions, in a dynamic interplay of both types of methodology.