Background: The literature concerning research methodologies and methods has increased in software engineering in the last decade. However, there is limited guidance on selecting an appropriate research methodology for a given research study or project. Objective: Based on a selection of research methodologies suitable for software engineering research in collaboration between industry and academia, we present, discuss and compare the methodologies aiming to provide guidance on which research methodology to choose in a given situation to ensure successful industry–academia collaboration in research. Method: Three research methodologies were chosen for two main reasons. Design Science and Action Research were selected for their usage in software engineering. We also chose a model emanating from software engineering, i.e., the Technology Transfer Model. An overview of each methodology is provided. It is followed by a discussion and an illustration concerning their use in industry–academia collaborative research. The three methodologies are then compared using a set of criteria as a basis for our guidance. Results: The discussion and comparison of the three research methodologies revealed general similarities and distinct differences. All three research methodologies are easily mapped to the general research process describe–solve–practice, while the main driver behind the formulation of the research methodologies is different. Thus, we guide in selecting a research methodology given the primary research objective for a given research study or project in collaboration between industry and academia. Conclusions: We observe that the three research methodologies have different main objectives and differ in some characteristics, although still having a lot in common. We conclude that it is vital to make an informed decision concerning which research methodology to use. The presentation and comparison aim to guide selecting an appropriate research methodology when conducting research in collaboration between industry and academia. © 2021 The Authors