Given the non-negligible interplay between parton distribution functions (PDFs) at large x and potential New Physics (NP) effects in the high-energy tails of hadron collider observables, a central question is which PDFs can be reliably employed in beyond-the-Standard-Model (BSM) analyses. In this work, we examine the fine balance between using PDF sets with small uncertainties in the large-x region – crucial for maximising BSM sensitivity – and adopting conservative PDF fits that exclude high-energy data potentially contaminated by unaccounted NP contributions. We systematically assess a range of conservative PDF fitting strategies designed to mitigate such biases and provide a recommendation for the class of PDFs best suited for robust BSM searches. In addition, we investigate the alternative approach of performing simultaneous fits of Standard Model Effective Field Theory (SMEFT) Wilson coefficients and PDFs, thereby consistently accounting for their mutual correlations. Starting from a toy model to illustrate the underlying mechanisms, we then analyse two realistic NP scenarios: one modifying high-mass Drell-Yan production and another affecting the high-invariant-mass tail of top-quark pair production. Both cases are representative of measurements that will be probed with high precision during the High-Luminosity phase of the LHC.