A proteogenomic approach to analyzing mass spectrometry–based proteomic data enables the discovery of novel peptides, provides peptide-level evidence of gene expression, and assists in refining gene models. Strategies for building custom sequence databases, applications benefitting from a proteogenomic approach, and challenges in interpreting data are discussed in this Review. Also in this issue, Alfaro et al. discuss the use of proteogenomic approaches for studying cancer biology.