Erm, no.

$ perl -E 'my $file="Bob_Smith"; $file =~ s/_/\\_/g; say $file'
Bob\_Smith
[download]

You're doing something wrong; this isn't the actual code you're using, or you're not showing us something (for instance if you're using Data::Dumper to print things out it's going to show you the string as you'd give to perl which of course would need the backslash doubled inside a "" string).

I was using data dumper. thanks everyone.

That's not what I see:

Win8 Strawberry 5.8.9.5 (32)  Thu 07/15/2021 13:10:20
C:\@Work\Perl\monks
>perl -Mstrict -Mwarnings
my $file="Billy_Bob_Smith";
$file =~ s/_/\\_/g;
print "'$file' \n";

use Data::Dumper;
print Dumper $file;
^Z
'Billy\_Bob\_Smith'
$VAR1 = 'Billy\\_Bob\\_Smith';
[download]

Update: Further to Fletch's post:
Utilities like Data::Dumper and Data::Dump try to represent output as "proper" single- or double-quoted strings. A single-quoted string (as in the Data::Dumper example above) handles multiple backslashes that are not before a quote terminal like this:

Win8 Strawberry 5.8.9.5 (32)  Thu 07/15/2021 13:10:29
C:\@Work\Perl\monks
>perl -Mstrict -Mwarnings
my $string = 'a\b\\c\\\d\\\\e';
print ">$string< \n";
^Z
>a\b\c\\d\\e<
[download]