With expanding data availability and computing power, health research is increasingly relying on big data from a variety of sources. We describe a state-level effort to address aspects of the opioid epidemic through public health research, which has resulted in an expansive data resource combining dozens of administrative data sources in Massachusetts. The Massachusetts Public Health Data Warehouse is a public health innovation that serves as an example of how to address the complexities of balancing data privacy and access to data for public health and health services research. We discuss issues of data protection and data access, and provide recommendations for ethical data governance. Keeping these issues in mind, the use of this data resource has the potential to allow for transformative research on critical public health issues.