Some studies have indicated that needle exchange programs (NEPs) can be effective in reducing drug-related risks for human immunodeficiency virus (HIV) seroconversion; however, others have reported higher HIV incidence rates among NEP attendees. Since many studies rely on self-reports of NEP attendance, the authors investigated the extent to which differential misreporting of NEP attendance could bias risk estimates. Over a 3-year period from 1994 to 1997, self-reports of NEP attendance from participants in a prospective study in Baltimore, Maryland, were compared with NEP records. Of 1,315 participants, 459 (35%) had registered with the Baltimore NEP. There was 86.7% concordance between self-reported and actual NEP use; 11.0% reported NEP attendance but did not attend (overreported), and 2.2% reported not attending NEP but did attend (underreported). In multivariate analyses using generalized estimating equations, persons who overreported NEP attendance were more likely to have injected frequently (adjusted odds ratio (AOR) = 1.29, 95% confidence interval (CI): 1.04, 1.61), denied needle sharing (AOR = 0.69; 95% CI: 0.52, 0.89), and been an HIV seroconverter (AOR = 1.83, 95% CI: 1.11, 3.01). With Poisson regression to model predictors of HIV seroconversion, models that included measures of NEP attendance based on self-reports compared with actual program data underestimated a protective association by 18%. These findings have important implications for evaluations of NEPs.