An “open science movement” is gaining traction across many disciplines within the research enterprise but is also precipitating consternation among those who worry that too much disruption may be hampering professional productivity. Despite this disruption, proponents of open data collaboration have argued that some of the biggest problems of the 21st century need to be solved with the help of many people and that data sharing will be the necessary engine to make that happen. In the United States, a national strategic plan for data sharing encouraged the federally funded scientific agencies to (a) publish open data for community use in discoverable, machine-readable, and useful ways; (b) work with public and civil society organizations to set priorities for data to be shared; (c) support innovation and feedback on open data solutions; and (d) continue efforts to release and enhance high-priority data sets funded by taxpayer dollars. One of the more visible open data projects in the psychological sciences is the presidentially announced “Brain Research Through Advancing Innovative Neurotechnologies” (BRAIN) initiative. Lessons learned from initiatives such as these are instructive both from the perspective of open science within psychology and from the perspective of understanding the psychology of open science. Recommendations for creating better pathways to “walk the walk” in open science include (a) nurturing innovation and agile learning, (b) thinking outside the paradigm, (c) creating simplicity from complexity, and (d) participating in continuous learning evidence platforms.