Sexual expression is fundamental to human existence and an important topic of enquiry in its own right. Understanding sexual behavior is also essential to establish effective sexual health prevention activities (e.g., education), services and policies, and to assess the progress of policies and action plans. Questions on sexual health are rarely included in general health surveys, and therefore dedicated population studies are required. Many countries lack both funding and sociopolitical support to conduct such surveys. A tradition of periodic population sexual health surveys exists in Europe but the methods used (e.g., in questionnaire construction, recruiting methods or interview format) vary from one survey to another. This is because the researchers within each country are confronted with conceptual, methodological, sociocultural and budgetary challenges, for which they find different solutions. These differences limit comparison across countries and pooling of estimates, but the variation in approaches provides a rich source of learning on population survey research. In this review, survey leads from 11 European countries discuss how their surveys evolved during the past four decades in response to sociohistorical and political context, and the challenges they encountered. The review discusses the solutions they identified and shows that it is possible to create well designed surveys which collect high quality data on a range of aspects of sexual health, despite the sensitivity of the topic. Herewith, we hope to support the research community in their perennial quest for political support and funding, and ongoing drive to advance methodology in future national sex surveys.