While many of us claim to value privacy, we often share data online or on our smartphones. The privacy literature is rich with discussions around how our own cognitive biases and heuristics are exploited to encourage such incongruous actions. However, further research is required to understand how we value data privacy—in particular, how personal values influence our decisions and why we may act against our values. Here, we discuss recent findings from a semi-structured interview investigation exploring how we value data privacy. Interview questions probed the relationship between privacy and values when selecting smartphone applications and privacy decisions more generally. To elucidate often-unconscious values, questions aimed to obtain statements pertaining to self-governing commitments representing values. Reflexive thematic analysis was used to interrogate instances where participants felt unable to act according to their values or where values appeared to conflict. From the interviews, we identified six major value themes that were motivationally related to privacy decisions, shaped by an individual’s understanding of the value and the context. Tensions between values were also linked to context with individual variation. However, values Use, Community, and Control were frequent and in tension with each other. We discuss the implications of these findings for smartphone app developers and stores, for designing privacy technologies, and for regulators. We also point to areas of future research into how we value privacy, particularly engagement with traditionally underrepresented groups.