Abstract: We propose data thinning, a new approach for splitting an observation into two or more independent parts that sum to the original observation, and that follow the same distribution as the original observation, up to a (known) scaling of a parameter. This proposal is very general, and can be applied to any observation drawn from a “convolution closed” distribution, a class that includes the Gaussian, Poisson, negative binomial, Gamma, and binomial distributions, among others. It is similar in spirit to – but distinct from, and more easily applicable than – a recent proposal known as data fission. Data thinning has a number of applications to model selection, evaluation, and inference. For instance, cross-validation via data thinning provides an attractive alternative to the “usual” approach of cross-validation via sample splitting, especially in unsupervised settings in which the latter is not applicable. In simulations and in an application to single-cell RNA-sequencing data, we show that data thinning can be used to validate the results of unsupervised learning approaches, such as k-means clustering and principal components analysis.