Sexual risk-taking is influenced by individual, interpersonal and social factors. This paper presents findings from a qualitative follow-up study to a clinical trial evaluating biomedical HIV prevention products among African women, explored participants’ perceptions and experiences of heterosexual penile-anal intercourse, as well as the gendered power dynamics and relationship contexts in which this sexual behaviour occurs. In-depth interviews were conducted with 88 women from South Africa, Uganda and Zimbabwe. Findings reveal that despite its social stigmatisation, women engage in penile-anal intercourse for reasons including male pleasure, relationship security, hiding infidelity, menstruation, vaginal infections, money and beliefs that it will prevent HIV transmission. In addition, participants described experiences of non-consensual penile-anal intercourse. We used sexual scripting theory as an analytical framework with which to describe the sociocultural and relationship contexts and gendered power dynamics in which these practices occur. These data on the distinct individual, dyadic and social contexts of heterosexual penile-anal intercourse, and the specific factors that may contribute to women’s HIV risk, make a unique contribution to our understanding of heterosexual behaviour in these sub-Saharan countries, thereby helping to inform both current and future HIV prevention efforts for women in the region.