Urban energy models (UEMs) simulate energy use at the urban scale and are used to inform urban planning, policy development, infrastructure development, and digital twin monitoring and forecasting. Recent technological improvements have spurred interest in large, multi-domain UEMs, which analyse multiple interconnected parts of these energy systems, such as geography, transport, and buildings. Reviews have focussed on single domains or aspects of UEM data. However, multi-domain UEMs require detailed multi-domain data inputs to provide accurate results. This paper provides a comprehensive review of data requirements and a repository of data-specific information for researchers, including data formats, sources, acquisition methods, bridging methods, and challenges. The review was conducted using academic search engines and the authors’ direct research experience. Domains are characterised by Climate, Geographic, Building, Transportation, Demographics, Energy Networks and Consumption, and Distributed Energy Resources. Additionally, challenges common to multiple sectors are identified, and methods for addressing these are proposed. The paper concludes with a series of recommendations drawing from the general and sector-specific challenges. Overall, a large amount of data exists, but their use by urban energy modellers is limited due to lack of coordination and standardisation, and concerns over privacy and commercial interests. Coordinated public effort is required to overcome these limitations and improve the results of UEMs in the future.