ERA‐40 is a re‐analysis of meteorological observations from September 1957 to August 2002 produced by the European Centre for Medium‐Range Weather Forecasts (ECMWF) in collaboration with many institutions. The observing system changed considerably over this re‐analysis period, with assimilable data provided by a succession of satellite‐borne instruments from the 1970s onwards, supplemented by increasing numbers of observations from aircraft, ocean‐buoys and other surface platforms, but with a declining number of radiosonde ascents since the late 1980s. The observations used in ERA‐40 were accumulated from many sources. The first part of this paper describes the data acquisition and the principal changes in data type and coverage over the period. It also describes the data assimilation system used for ERA‐40. This benefited from many of the changes introduced into operational forecasting since the mid‐1990s, when the systems used for the 15‐year ECMWF re‐analysis (ERA‐15) and the National Centers for Environmental Prediction/National Center for Atmospheric Research (NCEP/NCAR) re‐analysis were implemented. Several of the improvements are discussed. General aspects of the production of the analyses are also summarized.