Consumer purchase data (CPD) is a promising instrument to assess the impact of purchases on health, but is limited by the need for manual scanning, a lack of access to data from multiple retailers, and limited information on product data and health outcomes. Here we describe the My Purchases cohort, a web-app enabled, prospective collection of CPD, covering several large retail chains in Denmark, that enables linkage to health outcomes. The cohort included 459 participants as of July 03, 2023. Up to eight years of CPD have been collected, with 2,225,010 products purchased, comprising 223,440 unique products. We matched 88.5% of all products by product name or item number to one generic food database and three product databases. Combined, the databases enable analysis of key exposures such as nutrients, ingredients, or additives. We found that increasing the number of retailers that provide CPD for each consumer improved the stability of individual CPD profiles and when we compared kilojoule information from generic and specific product matches, we found a median modified relative difference of 0.23. Combined with extensive product databases and health outcomes, CPD could provide the basis for extensive investigations of how what we buy affects our health.