Illicit financial flows (IFFs) connected with corruption, crime, and tax evasion are an issue of increasing concern. A target to reduce IFFs is included in the Sustainable Development Goals (SDGs). However, there is not yet a clear consensus on how to define illicit financial flows, and even less on how to measure them. In particular, while tax fraud and evasion clearly fall within the definition “illicit,” several arguments have been put forward for widening the term to also include legal behaviour which reduces tax payments. Rationales for this include the dictionary definition of the word “illicit” and the existence of enforcement uncertainty. One of the most practically compelling arguments has been a belief that there is a large “grey zone” reflecting an absence of clear defining lines between legal tax planning and tax evasion. This is often linked to the idea that transfer pricing and trade misinvoicing are areas of overlapping practice where major multinational companies engage in illicit financial flows. This paper explores the definitional questions and the estimates of trade misinvoicing to shed light on whether these behaviours and issues are the same or different. This paper argues that conflating legal and illegal behaviour under a single definition involves a loss of clarity and a risk of confusion.