We present a Data-Driven framework for multiscale mechanical analysis of materials. The proposed framework relies on the Data-Driven formulation in mechanics (Kirchdoerfer and Ortiz 2016), with the material data being directly extracted from lower-scale computations. Particular emphasis is placed on two key elements: the parametrization of material history, and the optimal sampling of the mechanical state space. We demonstrate an application of the framework in the prediction of the behavior of sand, a prototypical complex history-dependent material. In particular, the model is able to predict the material response under complex nonmonotonic loading paths, and compares well against plane strain and triaxial compression shear banding experiments.