This research examined whether three commonly used data collection methods, namely the discourse completion test, role-play tasks, and naturally occurring data, are appropriate data collection methods for the assessment of the pragmatic competence of English as a foreign language (EFL) learners. Moreover, the study used the three data collection methods to determine whether there was a significant correlation between the grammatical competence and the pragmatic competence of EFL learners. Participants included 100 Asian EFL learners at two English proficiency levels. This research found a significant difference in the speech act performance of the EFL learners between each pair of the three data collection methods. The results suggested that the naturally occurring data collection method revealed the speech act performance of the EFL learners at its optimal. Furthermore, a significant correlation was found between the grammatical competence and the pragmatic competence of the EFL learners by using the naturally occurring data collection method. Both results indicated that the naturally occurring data collection methods may be more appropriate for the assessment of the pragmatic competence of EFL learners. Further empirical experiments should be conducted to ascertain the correlation between grammatical competence and pragmatic competence.