Self-reported behavioural data, being often linguistic variables that represent a qualitative measure of respondents’ opinions/attitudes, are vague, uncertain, and fuzzy in nature. A road safety performance index, based on these fuzzy data, should consider this uncertainty. In this study, fuzzy numbers were used to describe self-reported behaviour on Montenegrin roads, which was further integrated into the data envelopment analysis (DEA), a technique for measuring the relative performance of decision-making units (DMUs). The vagueness of the performance scores obtained in this way was treated with grey relational analysis (GRA). GRA was applied to the cross-efficiency (CE) matrix constructed by the DEA to distinguish Montenegrin municipalities’ performance, with the main goal of describing road safety in the observed territories in the environment of uncertain/grey data. It is concluded that the proposed DEA–GRA model, based on fuzzy data, provides a more reasonable and encompassing measure of performance, and with which the overall ranking position of municipalities can be obtained.