This study explores adolescents’ awareness of the sources that inform online profiling and their perspectives on online targeted advertisements. It employs thematic analysis to analyse eight focus group discussions (N = 38) with adolescents (13–16 years) in Finland’s capital region. The study advances research on adolescents’ knowledge of the data gathered for online profiling by highlighting that adolescents infer that apart from previous online activities, data on their verbal conversations also inform targeted advertisements. The study also advances research on adolescents’ perspectives on online targeted advertisements by identifying that adolescents’ privacy expectations in the context of targeted advertisements are that data should not be collected without their awareness and commercial entities should not use data on previous conversations for profiling. This study also pinpoints that online profiling gives some adolescents a privacy- invasive feeling of being observed, and others have a boundary until which they consider online data collection for profiling permissible. Moreover, some adolescents express ambivalent views on online targeted advertisements. The findings reflect some adolescents’ acceptance of online profiling and knowledge gaps that can inform media literacy educators. The findings raise concerns about the opacity of online commercial data-gathering practices. Therefore, we urge corporations to demystify their data collection processes.