Background: Compared with urban/suburban counterparts, rural communities experience lower rates of physical activity (PA) and higher rates of chronic disease. Promoting PA is important for disease prevention but requires reliable and valid measurement of PA. However, little is known about effectively collecting objective PA data in rural communities. Using data from a cluster randomized trial (Heartland Moves), which aims to increase PA in rural Missouri, this study explored factors associated with successful objective PA data collection and presents lessons learned. Methods: Baseline survey and accelerometry data were collected through Heartland Moves (n = 368) from August 2019 to February 2021, in southeast Missouri. Chi-square and logistic regression analyses were used to explore factors (demographics, subjective PA, and SMS reminders) associated with valid wear of PA devices. Results: Overall, 77% had valid wears. Participants who were not married (odds ratio [OR] 0.48, 95% confidence interval [CI], 0.30–0.79) and those living alone (OR 0.49, 95% CI, 0.30–0.81) were less likely to have valid wears. Participants who met PA guidelines (OR 1.69, 95% CI, 1.03–2.75) or received SMS reminders (OR 3.25; 95% CI, 1.97–5.38) were more likely to have valid wears. Conclusions: Results are supported by lessons learned, including importance of communication (SMS reminders), accessing hard-to-reach groups (living alone), and need to adapt during data collection.