Machine learning (ML) is believed to have enabled a paradigm shift in materials research, and in practice, ML has demonstrated its power in speeding up the cost-efficient discovery of new materials and autonomizing materials laboratories. In this Perspective, current research progress in materials data which are the backbones of ML are reviewed, focusing on high-throughput data generation, standardized data storage, and data representation. More importantly, the challenging issues in materials data that should be overcome to unlock the full potential of ML in materials research and development, including classic 5V (volume, velocity, variety, veracity, and value) issues, 3M (multicomponent, multiscale, and multistage) challenges, co-mining of experimental and computational data, and materials data toward transferable/explainable ML or causal ML, are discussed.