Aim: To describe I-O Optimise, a multinational program providing real-world insights into lung cancer management. Materials & methods: Real-world data source selection for I-O Optimise followed a structured approach focused on population coverage, key variable capture, continuous/consistent data availability, record duration and data latency, and database expertise. Results: As of 31 October 2018, seven real-world data sources were included in I-O Optimise, providing data on characteristics, treatment patterns and clinical outcomes from more than 45,000 patients/year with non-small-cell lung cancer, small-cell lung cancer and mesothelioma across Denmark, Norway, Portugal, Spain, Sweden and the UK. Conclusion: The ongoing I-O Optimise initiative has the potential to provide a broad, robust and dynamic research platform to continually address numerous research objectives in the lung cancer arena. Lay abstract This article describes the design and creation of I-O Optimise, a project that will collect real-world evidence about patients with lung cancer across many different countries. A specific structured approach was followed to select real-world data sources for inclusion in I-O Optimise and, as of 31 October 2018, seven real-world data sources were included, providing information on more than 45,000 patients per year with lung cancer in Denmark, Norway, Portugal, Spain, Sweden and the UK. I-O Optimise is an ongoing project that has the potential to provide information that will be important in improving the care of patients with lung cancer.