Projected Krylov methods are full-space formulations of Krylov methods that take place in a nullspace. Provided projections into the nullspace can be computed accurately, those methods only require products between an operator and vectors lying in the nullspace. In the symmetric case, their convergence is thus entirely described by the spectrum of the (preconditioned) operator restricted to the nullspace. We provide systematic principles for obtaining the projected form of any well-defined Krylov method. Equivalence properties between projected Krylov methods and standard Krylov methods applied to a saddle-point operator with a constraint preconditioner allow us to show that, contrary to common belief, certain known methods such as MINRES and SYMMLQ are well defined in the presence of an indefinite preconditioner.