Activity energy expenditure (AEE) during free-living conditions can be assessed using devices based on different principles. To make proper comparisons of different devices' capacities to assess AEE, they should be evaluated in the same population. Thus, in the present study we evaluated, in the same group of subjects, the ability of three devices to assess AEE in groups and individuals during free-living conditions. In twenty women, AEE was assessed using RT3 (three-axial accelerometry) (AEE_RT3), Actiheart (a combination of heart rate and accelerometry) (AEE_Acti) and IDEEA (a multi-accelerometer system) (AEE_IDEEA). Reference AEE (AEE_ref) was assessed using the doubly labelled water method and indirect calorimetry. Average AEE_Acti was 5760 kJ per 24 h and not significantly different from AEE_ref (5020 kJ per 24 h). On average, AEE_RT3 and AEE_IDEEA were 2010 and 1750 kJ per 24 h lower than AEE_ref, respectively (P < 0·001). The limits of agreement (± 2 sd) were 2940 (Actiheart), 1820 (RT3) and 2650 (IDEEA) kJ per 24 h. The variance for AEE_RT3 was lower than for AEE_Acti (P = 0·006). The RT3 classified 60 % of the women in the correct activity category while the corresponding value for IDEEA and Actiheart was 30 %. In conclusion, the Actiheart may be useful for groups and the RT3 for individuals while the IDEEA requires further development. The results are likely to be relevant for a large proportion of Western women of reproductive age and demonstrate that the procedure selected to assess physical activity can greatly influence the possibilities to uncover important aspects regarding interactions between physical activity, diet and health.