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The field of eco-evolutionary dynamics is developing rapidly, with a growing number of well-designed experiments quantifying the impact of evolution on ecological processes and patterns, ranging from population demography to community composition and ecosystem functioning. The key challenge remains to transfer the insights of these proof-of-principle experiments to natural settings, where multiple species interact and the dynamics are far more complex than those studied in most experiments. Here, we discuss potential pitfalls of building a framework on eco-evolutionary dynamics that is based on data on single species studied in isolation from interspecific interactions, which can lead to both under- and overestimation of the impact of evolution on ecological processes. Underestimation of evolution-driven ecological changes could occur in a single-species approach when the focal species is involved in co-evolutionary dynamics, whereas overestimation might occur due to increased rates of evolution following ecological release of the focal species. In order to develop a multi-species perspective on eco-evolutionary dynamics, we discuss the need for a broad-sense definition of "eco-evolutionary feedbacks" that includes any reciprocal interaction between ecological and evolutionary processes, next to a narrow-sense definition that refers to interactions that directly feed back on the interactor that evolves. We discuss the challenges and opportunities of using more natural settings in eco-evolutionary studies by gradually adding complexity: (a) multiple interacting species within a guild, (b) food web interactions and (c) evolving metacommunities in multiple habitat patches in a landscape. A literature survey indicated that only a few studies on microbial systems so far developed a truly multi-species approach in their analysis of eco-evolutionary dynamics, and mostly so in artificially constructed communities. Finally, we provide a road map of methods to study eco-evolutionary dynamics in more natural settings. Eco-evolutionary studies involving multiple species are necessarily demanding and might require intensive collaboration among research teams, but are highly needed.