Despite efforts to use culturally appropriate, understandable terms for sexual behavior in HIV prevention trials, the way in which participants interpret questions is underinvestigated and not well understood. We present findings from qualitative interviews with 88 women in South Africa, Uganda, and Zimbabwe who had previously participated in an HIV prevention trial. Findings suggested that participants may have misinterpreted questions pertaining to penile–anal intercourse (PAI) to refer to vaginal sex from behind and subsequently misreported the behavior. Three key issues emerge from these findings: first, the underreporting of socially stigmatized sexual behaviors due to social desirability bias; second, the inaccurate reporting of sexual behaviors due to miscomprehension of research terms; and third, the ambiguity in vernacular terms for sexual behavior and lack of acceptable terms for PAI in some languages. These findings highlight methodological challenges around developing clear and unambiguous definitions for sexual behaviors, with implications not only for clinical trials but also for clinical practice and sexual risk assessment. We discuss the challenges in collecting accurate and reliable data on heterosexual PAI in Africa and make recommendations for improved data collection on sensitive behaviors.