The data-driven methodology with application to continuum mechanics relies upon two main pillars:​ (i) experimental characterization of stress–strain pairs associated to different loading states, and (ii) numerical elaboration of the elasticity equations as an optimization (searching) algorithm using compatibility and equilibrium as constraints. The purpose of this work is to implement a multiscale data-driven approach using experimental data of cortical bone tissue at different scales. First, horse cortical bone samples are biaxially loaded and the strain fields are recorded over a region of interest using a digital image correlation technique. As a result, both microscopic strain fields and macroscopic strain states are obtained by a homogenization procedure, associated to macroscopic stress loading states which are considered uniform along the sample. This experimental outcome is here referred as a multiscale dataset. Second, the proposed multiscale data-driven methodology is implemented and analyzed in an example of application. Results are presented both in the macroscopic and microscopic scales, with the latter considered just as a post-process step in the formulation. The macroscopic results show non-smooth strain and stress patterns as a consequence of the tissue heterogeneity which suggest that a preassumed linear homogeneous orthotropic model may be inaccurate for bone tissue. Microscopic results show fluctuating strain fields – as a consequence of the interaction and evolution of the microconstituents – an order of magnitude higher than the averaged macroscopic solution, which evidences the need of a multiscale approach for the mechanical analysis of cortical bone, since the driving force of many biological bone processes is local at the microstructural level. Finally, the proposed multiscale data-driven technique may also be an adequate strategy for the solution of intractable large size multiscale FE computational approaches since the solution at the microscale is obtained as a postprocessing. As a main conclusion, the proposed multiscale data-driven methodology is a useful alternative to overcome limitations in the continuum mechanical study of the bone tissue. This methodology may also be considered as a useful strategy for the analysis of additional biological or technological hierarchical multiscale materials.