AIMS: All five Nordic countries (Denmark, Finland, Iceland, Norway and Sweden) have nationwide registries with similar data structure and validity, as well as personal identity numbers enabling linkage between registries. These resources provide opportunities for medical research that is based on large registry-based cohort studies with long and complete follow-up. This review describes practical aspects, opportunities and challenges encountered when setting up all-Nordic registry-based cohort studies. METHODS: Relevant articles describing registries often used for medical research in the Nordic countries were retrieved. Further, our experiences of conducting this type of study, including planning, acquiring permissions, data retrieval and data cleaning and handling, and the possibilities and challenges we have encountered are described. RESULTS: Combining data from the Nordic countries makes it possible to create large and powerful cohorts. The main challenges include obtaining all permissions within each country, usually in the local language, and retrieving the data. These challenges emphasise the importance of having experienced collaborators within each country. Following the acquisition of data, data management requires the understanding of the differences between the variables to be used in the various countries. A concern is the long time required between initiation and completion. CONCLUSIONS: Nationwide Nordic registries can be combined into cohorts with high validity and statistical power, but the considerable expertise, workload and time required to complete such cohorts should not be underestimated.