This article focuses on the privacy implications of advertising on social media, mobile apps, and games directed at children. Academic research on children's privacy has primarily focused on the safety risks involved in sharing personal information on the Internet, leaving market forces (such as commercial data collection) as a less discussed aspect of children's privacy. Yet, children's privacy in the digital era cannot be fully understood without examining marketing practices, especially in the context of "big data." As children increasingly consume content on an ever-expanding variety of digital devices, media and advertising industries are creating new ways to track their behaviors and target them with personalized content and marketing messages based on individual profiles. The advent of the so-called Internet of Things, with its ubiquitous sensors, is expanding these data collection and profiling practices. These trends raise serious concerns about digital dossiers that could follow young people into adulthood, affecting their access to education, employment, health care, and financial services. Although US privacy law provides some safeguards for children younger than 13 years old online, adolescents are afforded no such protections. Moreover, scholarship on children and privacy continues to lag behind the changes taking place in global media, advertising, and technology. This article proposes collaboration among researchers from a range of fields that will enable cross-disciplinary studies addressing not only the developmental issues related to different age groups but also the design of digital media platforms and the strategies used to influence young people.