Two types of ethnonym – endonyms (used within a community itself) and exonyms (used by other Gypsy groups and the macro-society) – correlate in complex ways. We concentrate on cases characteristic of the Balkans and the Gypsy groups who migrated from there in the nineteenth and twentieth centuries. Among these groups, ethnonyms are formed on the basis of the economic activities characteristic for a given Gypsy group (so-called professionyms), for instance Kalajdži, Demirdži, Kelderari, and Košničari/Sepetči. We analyse the different ways in which endonyms and exonyms function. In doing so we show the emergence and decline of specific group appellations and how particular Gypsy groups are distinguished from others through the clear expression of group ethnonyms.