AbstractCross‐validation is the standard method for hyperparameter tuning, or calibration, of machine learning algorithms. The adaptive lasso is a popular class of penalized approaches based on weighted L₁‐norm penalties, with weights derived from an initial estimate of the model parameter. Although it violates the paramount principle of cross‐validation, according to which no information from the hold‐out test set should be used when constructing the model on the training set, a “naive” cross‐validation scheme is often implemented for the calibration of the adaptive lasso. The unsuitability of this naive cross‐validation scheme in this context has not been well documented in the literature. In this work, we recall why the naive scheme is theoretically unsuitable and how proper cross‐validation should be implemented in this particular context. Using both synthetic and real‐world examples and considering several versions of the adaptive lasso, we illustrate the flaws of the naive scheme in practice. In particular, we show that it can lead to the selection of adaptive lasso estimates that perform substantially worse than those selected via a proper scheme in terms of both support recovery and prediction error. In other words, our results show that the theoretical unsuitability of the naive scheme translates into suboptimality in practice, and call for abandoning it.