The last decade has witnessed an exponential growth in the opportunities to collect and link health‐related data from multiple resources, including primary care, administrative, and device data. The availability of these “real‐world,” “big data” has fuelled also an intense methodological research into methods to handle them and extract actionable information. In medicine, the evidence generated from “real‐world data” (RWD), which are not purposely collected to answer biomedical questions, is commonly termed “real‐world evidence” (RWE). In this review, we focus on RWD and RWE in the area of diabetes research, highlighting their contributions in the last decade; and give some suggestions for future RWE diabetes research, by applying well‐established and less‐known tools to direct RWE diabetes research towards better personalized approaches to diabetes care. We underline the essential aspects to consider when using RWD and the key features limiting the translational potential of RWD in generating high‐quality and applicable RWE. Only if viewed in the context of other study designs and statistical methods, with its pros and cons carefully considered, RWE will exploit its full potential as a complementary or even, in some cases, substitutive source of evidence compared to the expensive evidence obtained from randomized controlled trials.