Men who have sex with men (MSM) accounted for 61% of new HIV diagnoses in the United States in 2010. Recent analyses indicate that socio-structural factors are important correlates of HIV infection. NYCM2M was a cross-sectional study designed to identify neighborhood-level characteristics within the urban environment that influence sexual risk behaviors, substance use and depression among MSM living in New York City. The sample was recruited using a modified venue-based time-space sampling methodology and through select websites and mobile applications. This paper describes novel methodological approaches used to improve the quality of data collected for analysis of the impact of neighborhoods on MSM health. Previous research has focused predominately on residential neighborhoods and used pre-determined administrative boundaries (e.g., census tracts) that often do not reflect authentic and meaningful neighborhoods. This study included the definition and assessment of multiple neighborhoods of influence including where men live (home neighborhood), socialize (social neighborhood) and have sex (sexual neighborhood). Furthermore, making use of technological advances in mapping, we collected geo-points of reference for each type of neighborhood and identified and constructed self-identified neighborhood boundary definitions. Finally, this study collected both perceived neighborhood characteristics and objective neighborhood conditions to create a comprehensive, flexible and rich neighborhood-level set of covariates. This research revealed that men perceived their home, social and sexual neighborhoods in different ways. Few men (15%) had the same home, social and sexual neighborhoods; for 31%, none of the neighborhoods was the same. Of the three types of neighborhoods, the number of unique social neighborhoods was the lowest; the size of sexual neighborhoods was the smallest. The resultant dataset offers the opportunity to conduct analyses that will yield context-specific and nuanced understandings of the relations among neighborhood space, and the well-being and health of urban MSM.