Climate change interacts with other environmental stressors and vulnerability factors. Some places and, owing to socioeconomic conditions, some people, are far more at risk. The data behind current assessments of the environment-wellbeing nexus is coarse and regionally aggregated, when considering multiple regions/groups; or, when granular, comes from ad hoc samples with few variables. To assess the impacts of climate change, we require data that are granular and comprehensive, both in the variables and population studied. We build a publicly accessible data set, the SHARE-ENV data set, which fulfills these criteria. We expand on EU representative, individual-level, longitudinal data (the SHARE survey), with environmental exposure information about temperature, radiation, precipitation, pollution, and flood events. We illustrate through four simplified multilevel linear regressions, cross-sectional and longitudinal, how full-fledged studies can use SHARE-ENV to contribute to the literature. Such studies would help assess climate impacts and estimate the effectiveness and fairness of several climate adaptation policies. Other surveys can be expanded with environmental information to unlock different research avenues.