Data infrastructure for cancer research is centered on registries that are often augmented with payer or hospital discharge databases, but these linkages are limited. A recent alternative in some states is to augment registry data with All-Payer Claims Databases (APCDs). These linkages capture patient-centered economic outcomes, including those driven by insurance and influence health equity, and can serve as a prototype for health economics research. To describe and assess the utility of a linkage between the Colorado APCD and Colorado Central Cancer Registry (CCCR) data for 2012-2017. This cohort study of 91,883 insured patients evaluated the Colorado APCD-CCCR linkage on its suitability to assess demographics, area-level data, insurance, and out-of-pocket expenses 3 and 6 months after cancer diagnosis. The linkage had high validity, with over 90% of patients in the CCCR linked to the APCD, but gaps in APCD health plans limited available claims at diagnosis. We highlight the advantages of the CCCR-APCD, such as granular race and ethnicity classification, area-level data, the ability to capture supplemental plans, medical and pharmacy out-of-pocket expenses, and transitions in insurance plans. Linked data between registries and APCDs can be a cornerstone of a robust data infrastructure and spur innovations in health economics research on cost, quality, and outcomes. A larger infrastructure could comprise a network of state APCDs that maintain linkages for research and surveillance.