The European Union (EU) initiative on the Digital Transformation of Health and Care (Digicare) aims to provide the conditions necessary for building a secure, flexible, and decentralized digital health infrastructure. Creating a European Health Research and Innovation Cloud (HRIC) within this environment should enable data sharing and analysis for health research across the EU, in compliance with data protection legislation while preserving the full trust of the participants. Such a HRIC should learn from and build on existing data infrastructures, integrate best practices, and focus on the concrete needs of the community in terms of technologies, governance, management, regulation, and ethics requirements. Here, we describe the vision and expected benefits of digital data sharing in health research activities and present a roadmap that fosters the opportunities while answering the challenges of implementing a HRIC. For this, we put forward five specific recommendations and action points to ensure that a European HRIC: i) is built on established standards and guidelines, providing cloud technologies through an open and decentralized infrastructure; ii) is developed and certified to the highest standards of interoperability and data security that can be trusted by all stakeholders; iii) is supported by a robust ethical and legal framework that is compliant with the EU General Data Protection Regulation (GDPR); iv) establishes a proper environment for the training of new generations of data and medical scientists; and v) stimulates research and innovation in transnational collaborations through public and private initiatives and partnerships funded by the EU through Horizon 2020 and Horizon Europe.