Real-world research can use observational or clinical trial designs, in both cases putting emphasis on high external validity, to complement the classical efficacy randomized controlled trials (RCTs) with high internal validity. Real-world research is made necessary by the variety of factors that can play an important a role in modulating effectiveness in real life but are often tightly controlled in RCTs, such as comorbidities and concomitant treatments, adherence, inhalation technique, access to care, strength of doctor-caregiver communication, and socio-economic and other organizational factors. Real-world studies belong to two main categories: pragmatic trials and observational studies, which can be prospective or retrospective. Focusing on comparative database observational studies, the process aimed at ensuring high-quality research can be divided into three parts: preparation of research, analyses and reporting, and discussion of results. Key points include a priori planning of data collection and analyses, identification of appropriate database(s), proper outcomes definition, study registration with commitment to publish, bias minimization through matching and adjustment processes accounting for potential confounders, and sensitivity analyses testing the robustness of results. When these conditions are met, observational database studies can reach a sufficient level of evidence to help create guidelines (i.e., clinical and regulatory decision-making).