The data presented in this article by Nchake, Edwards and Rankin (2018) are related to the research article entitled “Closer monetary union and product market integration in emerging economies: Evidence from the Common Monetary Area in Southern Africa” (Nchake, Edwards and Rankin, 2017). This article describes the monthly retail product prices used in the compilation of the consumer price index of Lesotho, South Africa and Botswana, and collected by the statistical offices in the respective countries. The data are provided at the product level and vary across cities and across time. Each individual product has information on the date (month and year), city, product and unit codes, units of measurements and, in some cases, brand name of that product. The data is made publicly available to enable replication analysis or to extend on the existing results.