In this article, we analyze legal and ethical issues raised in Big Data health research projects in the Covid‐19 era and consider how these issues might be addressed in ways that advance positive values (e.g., furtherance of respect for persons and accordance with relevant legal frameworks) while mitigating or eliminating any negative aspects (e.g., exacerbation of social inequality and injustice). We apply this analysis specifically to UK‐REACH (The United Kingdom Research Study into Ethnicity and Covid‐19 Outcomes in Healthcare Workers), a project with which we are involved. We argue that Big Data projects like UK‐REACH can be conducted in an ethically robust manner and that funders and sponsors ought to encourage similar projects to drive better evidence‐based public policy in public health. As part of this, we advocate that a Big Data ethics‐by‐design approach be undertaken when such projects are constructed. This principle extends the work of those who advocate ethics by design by addressing prominent issues in Big Data health research projects; it holds that ethical values and principles in Big Data health research projects are best adhered to when they are already integrated into the project aims and methods at the design stage. In advocating this principle, we present a unique perspective regarding pressing ethical problems around large‐scale, data‐driven Covid‐19 research, as well as legal issues associated with processing ostensibly anonymized health data.