Roll-your-own (RYO) cigarette use has been subject to relatively limited research, particularly in developing countries. This paper seeks to describe RYO use in Thailand and Malaysia and relate RYO use to smokers' knowledge of the harmfulness of tobacco. Data come from face-to-face surveys with 4,004 adult smokers from Malaysia (N = 2,004) and Thailand (N = 2000), collected between January and March 2005. The prevalence of any use of RYO cigarettes varied greatly between Malaysia (17%) and Thailand (58%). In both countries, any RYO use was associated with living in rural areas, older average age, lower level of education, male gender, not being in paid work, slightly lower consumption of cigarettes, higher social acceptability of smoking, and positive attitudes toward tobacco regulation. Among RYO users, exclusive use of RYO cigarettes (compared with mixed use) was associated with older age, female gender (relatively), thinking about the enjoyment of smoking, and not making a special effort to buy cheaper cigarettes if the price goes up. Finally, exclusive RYO smokers were less aware of health warnings (RYO tobacco carries no health warnings), but even so, knowledge of the health effects of tobacco was equivalent.