This research note argues that quantitative survey data on Africa, welcomed by most researchers in public health, economics, and political science, can make an important contribution to the work of historians and anthropologists, especially if it is open to critical analysis. The research note describes the 2012–13 ‘Knowing Each Other’ survey on religion among the Yoruba of south-west Nigeria, which provides strong evidence for a slow shift from Islam to Christianity in the area since 1963, and reflects on the methods and challenges of carrying out the survey and the resulting biases within it. In doing so, the research note draws out lessons on how to use surveys for historical and anthropological research. It also shows how using surveys contributes to understanding the complex and unexplored dynamics of Muslim–Christian relations in Nigeria from the perspectives of locality, age, and gender.