Although sex work can bring significant economic benefit there are serious downsides, not least vulnerability to adverse sexual health outcomes. Focus-groups discussions and in-depth interviews were conducted with 70 female sex workers to explore the context in which they started sex work, their motivations to leave, and their experiences of trying to leave. The pathway to becoming a sex worker was underscored by poverty, with disruptive events leading to increasing vulnerability and increasingly difficult life choices. A sizeable minority of women became sex workers while working as house-girls, a position associated with financial, physical and sexual vulnerability. The majority of participants were still working as sex workers, citing financial reasons for not leaving. Motivations to leave sex work included experiencing a frightening incident, peer pressure and concerns about dependent children. Those who left often described a change in their financial circumstances that enabled them to leave. Some had left but had returned to sex work following a financial crisis or because they found their new life too hard. House-girls are particularly vulnerable and therefore an appropriate focus for prevention. Programmes assisting women to leave need to include financial safety nets so that a time of financial difficulty does not necessitate a return to sex work.