This systematic review on data modalities synthesises the research findings in terms of how to optimally use and combine such modalities when investigating cognitive, motivational, and emotional learning processes. ERIC, WoS, and ScienceDirect databases were searched with specific keywords and inclusion criteria for research on data modalities, resulting in 207 relevant publications. We provide findings in terms of target journal, country, subject, participant characteristics, educational level, foci, type of data modality, research method, type of learning, learning setting, and modalities used to study the different foci. In total, 18 data modalities were classified. For the 207 multimodal publications, 721 occurrences of modalities were observed. The most popular modality was interview followed by survey and observation. The least common modalities were heart rate variability, facial expression recognition, and screen recording. From the 207 publications, 98 focused exclusively on the cognitive aspects of learning, followed by 27 publications that only focused on motivation, while only five publications exclusively focused on emotional aspects. Only 10 publications focused on a combination of cognitive, motivational, and emotional aspects of learning. Our results plea for the increased use of objective measures, highlight the need for triangulation of objective and subjective data, and demand for more research on combining various aspects of learning. Further, rather than researching cognitive, motivational, and emotional aspects of learning separately, we encourage scholars to tap into multiple learning processes with multimodal data to derive a more comprehensive view on the phenomenon of learning.