Academic interest in asexuality has increased in recent years; however, there is yet to be a national probability study exploring the correlates of self-identifying as asexual. Here, we utilized data from the 2014/15 New Zealand Attitudes and Values Study. Past research has typically used attraction-based measures; however, we asked participants to describe their sexual orientation using a self-generated, open-ended item, and 0.4% (n = 44) self-identified as asexual. We then compared self-identified asexual participants with a heterosexual reference group (n = 11,822) across a large number of demographic, psychological, and health variables. Relative to heterosexuals, self-identified asexual participants were (1) more likely to be women, and (2) substantially less likely to be cisgender, (3) in a serious romantic relationship, or (4) a parent. No deleterious mental or physical health effects were associated with asexuality when compared to heterosexuality. This study provides the first attempt at measuring self-identification as asexual in a national sample and highlights core similarities and differences between those who identify as asexual and heterosexual.