Hearing protectors equipped with active noise reduction (ANR) functions have become popular and widespread in recent years. It is important to assess the sound attenuation performance of the ANR hearing protectors properly, which remains a problem. This work studies several typical measurement methods, including the real-ear attenuation at threshold (REAT), microphone in real-ear (MIRE), and the acoustic test fixture (ATF). In order to reduce the masking effect from the noise generated from the ANR electronic system when ANR is turned on during the REAT test, a modified tone sound instead of one-third octave band noise is used as the test signal. The results obtained from the different measurement methods on several ANR headphones and earphones are compared and the differences are discussed. It is found that the measurement differences among those methods are huge. The values of active insertion loss measured by the REAT method are much lower than those assessed by the MIRE procedure. This work contributes to the development of the test methods to assess the sound attenuation of the ANR hearing protectors.