Randomized controlled trials (RCTs) represent the gold-standard of medical evidence to assess the efficacy and safety of therapeutic interventions. However, the need to minimize bias and ensure the correct design to explore the study aims often affects the generalizability of results. As a consequence, the evidence derived from the most rigorous research strategy available is not always representative of the real-world settings for which this evidence is ultimately intended. Observational studies, in contrast, although affected by a number of potential confounders, can more effectively capture treatment characteristics and safety issues that had not been identified by previous RCTs, owing to the short duration of follow-up or highly selective inclusion criteria. The aim of this review is to provide a comparative summary of the main advantages and pitfalls of RCTs and real-world data, emphasizing the need for a constant integration of all available levels of evidence to provide the best care for patients.