They used oil as lubricant.

Since we already have the NSFW-tag for this question, allow me to give you some sort of 'source'. There's a Roman novel written by Gaius Petronius that has some quite perverted parts in it. The name of the novel is 'Satyricon'.

"Profert Oenothea scorteum fascinum, quod ut oleo et minuto pipere atque urticae trito circumdedit semine, paulatim coepit inserere ano meo. - Oenothea held up a leather dildo which she oiled and covered in pepper and crushed nettle seeds and began pushing it up my arsehole, inch by inch."

Mod note: A number of people have chimed in to respond with nothing aside from:

"Spit"

Aside from the fact that this is not the type of comprehensive and in-depth response we expect in this subreddit, this is really bad advice in general. Contrary to what you see in pornography, spitting on your hand and rubbing it on down there really isn't sufficient preparation, and can lead to some unfortunate experiences. So please stop answering with it here, and please don't try it at home!

Edit before people start to chime in saying it works fine for them. Good for you, but it is still terrible advice to hand out.

Edit 2: Again, if it works for you, great! I assume you are experienced and know your limits. That doesn't change the fact it is objectively bad advice to hand out! If that's what you tell people when they ask for advice, you are doing them a great disservice. If you really need to tell me about your firmly held beliefs in how to have anal sex though, PM me instead of responding to this post.

As others have stated, they used natural oils as a lubricant.

Quotes from Lubzilla:

The Greek philosopher Aristotle references the contraceptive powers of olive oil mixed with cedar oil, lead, and frankincense. From Greek texts, we also know that women would also use leather dildos lubricated with olive oil, and it stands to reason that olive oil was probably the go-to lubricant for that time period.

In Japan’s Edo period (1603-1868), couples used tororo-jiru, a slick substance made by grating Chinese yams. Early Chinese condoms made from animal intestine or treated linen were often coated with a few drops of vegetable oil to facilitate penetration

Here is some info about Anal sex in Roman times

Hope this helps!

Despite what the mod said below, using spit was mentioned in two separate entries in Chinese Qing dynasty joke collection 笑林广记 (The current edition was publish in late 1700s, and it contains tons of nsfw jokes), these two entries are both about monks doing it with (or trying to it without) spit, they contain puns that are too difficult to translate, so I just have the Chinese text here:

1. 开荤

师父夜谓沙弥曰：“今宵可干一素了。”沙弥曰：“何为素了？”僧曰：“不

用唾者是也。”已而沙弥痛甚，叫曰：“师父，熬不得，快些开了荤罢。”

EDIT: OK I translate this one quickly, not that funny as in the original language:

The monk told his disciple "Tonight let's do it vegetarian style. "

The disciple: "What's vegetarian style? "

The monk: "Not using spit. "

When it happened the disciple found it too painful: "Can't stand this vegetarian lifestyle, let's abandon it now. "

(Chinese Buddhists are supposed to be vegetarian)

2. 鸦噪

一士借僧房读书，忽闻鸦噪，连连叩齿。徒问：“相公为何？”答曰：“鸦噪。”

徒曰：“我们丫燥，不是这等解法，是拓谗吐的。

In Japan there is a type of yam (Nagaimo) that is grated to make a very slimy substance. It's eaten as a food but was also traditionally used as a sexual lubricant.

Not the best source, but: http://www.clovegarden.com/ingred/ym_nagaimoz.html

Anyway, an example of a safe water based lubricant. In general I think it's wrong to imagine that premodern people did not have access to various plant-based substances that would've done the job.

Did anyone use butter? Was oil more widespread than where olives grow? Did people only have anal sex in areas with abundant olives?

Though I can't remember details exactly, last year I read "Male Colors: The Construction of Homosexuality in Tokugawa Japan" by Gary P. Leupp. (I'm on my mobile so opted to use quotes for the book title since I can't italicise it)

In the book, they talk about homosexuality and prostitution. A passage mentioned different costs associated with buying time with the male prostitutes, with 'dry' being the most expensive.

EDIT: Just opened up the file on my Kindle and found that clove oil is often mentioned as a lubricant. Also found information which states that the text Makura bunko instructed 'one how to produce a sexual lubricant from egg white, arrowroot starch and a glue plant called funori.'