Most of the challenges set by modern physics endeavours are related to the management, processing and analysis of massive amount of data. As stated in a recent Nature editorial (*The thing about data*, Nature Physics volume 13, page 717, 2017), "the rise of big data represents an opportunity for physicists. To take full advantage, however, they need a subtle but important shift in mindset". All this calls for a substantial change in the way future physicists are taught: statistics and probability, information theory, machine learning as well as scientific computing and hardware setups should be the pillars of the education of a new physics students generation. This is what an innovative master programme launched in fall 2018 by the University of Padua, "**Physics of Data**", aims at. This contribution summarises its actual implementation, describing the educational methods (all focused on "hands-on" activities and research projects) and reporting on the brilliant results obtained by the first enrolled students.