The article examines the impact that legislative developments in the European Union have had, still have and are continuing to have on cross-border access to microdata for research purposes. Therefore, we describe two competing aims: the tension between the ambitions of the EU to create a European Research Area within which research communities gain access to and share data across national boundaries; and the desire within the EU to establish a harmonious legislative framework that provides protection from the misuse of personal information. We attempt to examine which new developments at the EU level will have an impact upon research plans and the challenges researchers face when analysing big data.