Adequate data are key for evidence-based policymaking. However, while a large amount of official statistics is produced across European Union member States, only a small part of the complexity of migrant integration phenomena can be captured through such data. Social security databases to assess labour market integration allow counting migrants only after they officially enter the systems. On the other hand, indicators to explain the different aspects of migrants’ living conditions and monitor integration policies implemented by countries cannot be captured through register data; large-scale surveys such as the European Union Labour Force Survey and the European Union Survey on Income and Living Conditions are the major data sources for these aims. However, migration and migrants have never been the centre of attention (with the exception of some occasional ad hoc modules) for cross-sectional/multinational surveys. These are designed to cover the general resident population in a given country, and although the migrants/non-nationals are incorporated in samples, the representation and coverage of those migrants have been questionable. Consequently, to improve understanding of migrant integration, it is necessary to go beyond traditional data sources, and novel approaches are required.