New data-driven technologies yield benefits and potentials, but also confront different agents and stakeholders with challenges in retaining control over their data. Our goal in this study is to arrive at a clear picture of what is meant by data sovereignty in such problem settings. To this end, we review 341 publications and analyze the frequency of different notions such as data sovereignty, digital sovereignty, and cyber sovereignty. We go on to map agents they concern, in which context they appear, and which values they allude to. While our sample reveals a considerable degree of divergence and an occasional lack of clarity about intended meanings of data sovereignty, we propose a conceptual grid to systematize different dimensions and connotations. Each of them relates in some way to meaningful control, ownership, and other claims to data articulated by a variety of agents ranging from individuals to countries. Data sovereignty alludes to a nuanced mixture of normative concepts such as inclusive deliberation and recognition of the fundamental rights of data subjects.