Data linkage is a powerful tool for understanding the multifaceted needs and priorities of mental health care from the perspective of users and providers. Its potential remains underutilised in Australian settings - the Productivity Commission Inquiry into Mental Health in 2020 highlighted a significant gap: routinely collected administrative data are seldom leveraged in mental health research and service evaluation. In this manuscript, we provide insights into how data linkage has been used in mental health research, the type of questions that can be addressed, the steps involved in conducting data linkage research and the benefits and limitations of the use of this methodology. We propose crucial recommendations for advancing this field including: enhancing education for stakeholders (including the public, data custodians, ethics committees and policy makers); fostering stronger collaborative relationships with individuals with lived experiences throughout the research journey; improving infrastructure and resources for data linkage activities and linking data across sectors to address complex meaningful research questions. Data linkage is not just a method but a critical strategy to transform mental health research and service evaluation, ensuring more informed, effective and holistic mental health care.