We study data linkages among heterogeneous firms and examine how they shape the outcome of privacy regulation. A single consumer interacts sequentially with two firms: one firm collects data on consumer behavior; the other firm leverages the data to set a quality level and a price. A data linkage benefits the consumer in equilibrium when the recipient firm is sufficiently similar to the collecting firm. We then endogenize linkage formation under various forms of privacy regulation. We show that voluntary consent requirements are beneficial to consumers in equilibrium but that bans on discriminatory price and quality offers are harmful.