The problem of design, reverse engineering and retrofitting for robust operation of large-scale interconnected dynamical systems is perhaps the engineering grand challenge of our time. Mathematics and engineering tools for treatment of individual components have been developed to a high degree of sophistication. However, when these components are connected - whether physically or by communication devices - new, collective phenomena can emerge that are not necessarily related to properties of individual components. The local consequences of such phenomena can be sensed - and the drive towards reduced cost and ubiquity of sensors leads to a massive amount of dynamically changing data. The phenomena indicated by sensed data have to be recognized, counteracted or perhaps even utilized dynamically in attempts to achieve optimal design and operation. Here are some of the critical elements of the applied problem at hand, the "Big Data Dynamics in Systems of Systems", and our viewpoint on the associated research directions.