Greater uptake of active transport has been argued as necessary for the transport system to achieve relevant sustainability and public health goals; however, the research tools used to investigate behaviour when using these modes are far less well-developed than those used to investigate driving behaviour. This study takes two self-report behavioural measures, the Walking Behaviour Questionnaire (WBQ) and the Cycling Behaviour Questionnaire (WBQ), and pilots them in the UK. Exploratory and confirmatory factor analyses with data from 428 respondents revealed factor structures different to those described in the limited number of previous studies that used the CBQ and WBQ. Across both questionnaires, scales measuring intentional behaviour differed from original descriptions to a greater extent than did the scale concerning unintentional attention or memory errors. In addition to a validation exercise, this research explored the relationships between variables, finding a correlation between the reported performance of unintentional errors when walking and cycling. Looking in more detail at cycling behaviours, we found that those who rated themselves as more proficient cyclists also reported performing fewer unintentional cycling errors. Results also showed self-reported helmet use to bear little to no relationship with other self-reported cycling behaviours or self-rated cycling proficiency. Finally, using structural equation modelling, we demonstrated that responses to the CBQ add very little (over and above age, gender, and exposure to the road environment) to the explanation of self-reported past collision involvement. In total, only 7% of the variation in past collision involvement was explained by the included variables. We urge caution when using self-report behavioural measures that have not been validated in the context of intended use, and the importance of using such measures in combination with other approaches rather than in isolation when trying to develop an understanding of overall system performance.