Objectives Compensatory health beliefs are hypothesized to be a means by which people compensate for the negative effects of performing an unhealthy behaviour by engaging in a health-protective behaviour (Knäuper, Rabiau, Cohen, & Patriciu, 2004). However, the measurement of compensatory health beliefs has proven problematic (e.g., Radtke, Scholz, Keller, Perren, & Hornung, 2010) and so the aims of the present study are to identify: (a) the kinds of difficulties that people experience when completing compensatory health belief scales; and (b) what steps will be required to develop a future reliable and valid measure of compensatory health beliefs. Design Cross-sectional survey. Methods Forty-three participants (M = 34.98 years, SD = 13.94) completed the compensatory health beliefs questionnaire while thinking aloud. Participants' responses to the compensatory health beliefs scale were coded using French, Cooke, McLean, Williams, and Sutton's (2007) schedule. Results Consistent with prior research, the full compensatory health beliefs scale showed evidence of internal reliability, and face validity. Participants identified several conceptual ambiguities, most notably: (a) between belief- and behaviour-based compensation (i.e., participants did not believe in the compensatory health belief, but still engaged in the affiliated compensatory behaviour), and (b) the 'effectiveness' of the beliefs (i.e., participants talked about engaging in the compensatory behaviour, but acknowledged that it was only a partial solution). Conclusions Although the compensatory health belief subscales lack reliability, the measure as a whole possesses face validity. Further work is required to refine the compensatory health beliefs scale by discriminating between compensatory health beliefs and compensatory health behaviours. Statement of contribution What is already known on this subject? Although the idea that people use compensatory health beliefs as a strategy to continue engaging in unhealthy behaviours is an appealing one, attempts to measure compensatory health beliefs has produced mixed findings (see Kaklamanou & Armitage,; Knäuper et al.,; Nooijer, Puijk-Hekman, & Assema,; Radtke et al.,). What does this study add? The present study, using a 'think aloud technique', suggests ways to improve reliability of the compensatory health beliefs scale. We suggest that three sub-strategies underpin the 'activate Compensatory Health Beliefs' strategy. We propose a new construct that we call 'compensatory health behaviours'.