Although decoding the content of mental states is currently unachievable, technologies such as neural interfaces, affective computing systems, and digital behavioral technologies enable increasingly reliable statistical associations between certain data patterns and mental activities such as memories, intentions, and emotions. Furthermore, Artificial Intelligence enables the exploration of these activities not just retrospectively but also in a real-time and predictive manner. In this article, we introduce the notion of 'mental data', defined as any data that can be organized and processed to make inferences about the mental states of a person, including their cognitive, affective and conative states. Further, we analyze existing legal protections for mental data by considering the lawfulness of their processing in light of different legal bases and purposes, with special focus on the EU General Data Protection Regulation (GDPR). We argue that the GDPR is an adequate tool to mitigate risks related to mental data processing. However, we recommend that interpreters focus on processing characteristics, rather than merely on the category of data at issue. Finally, we call for a 'Mental Data Protection Impact Assessment', a specific data protection impact assessment designed to better assess and mitigate the risks to fundamental rights and freedoms associated with the processing of mental data.