This article looks at the use of large health records datasets, typically linked with other data sources, and their use in mental health research. The most comprehensive examples of this kind of big data are typically found in Scandinavian countries however there are also many useful sources in the UK. There are a number of promising methodological innovations from studies using big data in UK mental health research, including: hybrid study designs, examples of data linkage and enhanced study recruitment. It is, though, important to be aware of the limitations of research using big data, particularly the various analysis pitfalls. We therefore caution against throwing out the methodological baby with the bathwater and argue that other data sources are equally valuable and ideally research should incorporate a range of data.