Compared to self-administered questionnaires, socially desirable responses are more likely found with interviewer-administered questionnaires. However, less is known about differences in social desirability bias between different modes of self-administration. This study compared the results for sensitive questions when asked on a paper-pencil questionnaire versus in a Webbased survey. Personnel at selected military installations were randomly assigned to either the paper-pencil or the Web administration. The paper-pencil survey was administered in a group setting, with an interviewer present to distribute and collect the surveys while the online survey was individually-administered at respondents’ convenience. All respondents, regardless of mode, were assured anonymity. The surveys were conducted as part of the Health Related Behaviors Survey of Military Personnel, conducted every three years by the Department of Defense and the United States Coast Guard. The largest survey on service members’ behavioral health, it asks about a number of activities that can have serious consequences for military careers such as substance use and mental health indicators, as well as a number of highly sensitive topics, including for the first time Coast Guard members’ sexuality. Overall, the paper-pencil survey showed fewer drops offs. After controlling for demographic differences and differences in Internet accessibility and use, in the online survey we found lower prevalence estimates of unhealthy or illicit activities, such as heavy drinking or drinking and driving, and higher estimates of socially desirable attitudes and behaviors, such as exercise and safety, compared to the group-administered, paper-pencil surveys. Contrary to the hypothesis that the online administration would be associated with greater reports of undesirable behaviors, we consider the possibility that respondents to the online survey had concerns about anonymity.