Data needs to be cited in much the same way as journal articles, books, and other sources. Only a few style manuals have specific guides on how to cite data but don't let this discourage you. If you're struggling to cite a data set in a citation style not listed below, reach out to a librarian!
The example below is of data sourced from the ICPSR database.
O’Donohue, W. (2017). Content analysis of undergraduate psychology textbooks (ICPSR 21600; Version V1) [Data set]. ICPSR. https://doi.org/10.3886/ICPSR36966.v1
1. NASA/IPAC Extragalactic Database (object name IRAS F00400+4059; accessed April 6, 2016), http://ned.ipac.caltech.edu/.
2. GenBank (for RP11-322N14 BAC [accession number AC087526.3]; accessed April 6, 2016), http://www-ncbi-nlm-nih-gov.dickinson.idm.oclc.org/nuccore/19683167.
GenBank (for RP11-322N14 BAC [accession number AC087526.3]; accessed April 6, 2016). http://www-ncbi-nlm-nih-gov.dickinson.idm.oclc.org/nuccore/19683167.
NASA/IPAC Extragalactic Database (object name IRAS F00400+4059; accessed April 6, 2016). http://ned.ipac.caltech.edu/.