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).