Difficulties in recruiting newly bereaved families and following them over time present a major barrier in grief research following the death of a spouse/parent. We established FALCON—the first prospective nationwide cohort of families with children below age 18 years whose parent died in Denmark between April 2019 and July 2021. Data from parents and children were collected within 2 months of death with ongoing follow-up assessments up to 18 months post-death. A total of 992 families were invited. The final cohort consisted of 250 families (250 widowed parents, 134 adolescents, 120 children aged 6–12 years and 63 children aged 0–5 years). In this paper, we describe the rationale for the cohort’s creation, the challenges of researching grief in families, the methods used and future plans to utilize this unique family-level dataset.