diff --git a/R-package/R/xgb.DMatrix.R b/R-package/R/xgb.DMatrix.R
index f64a5439d639..9a753097e02b 100644
--- a/R-package/R/xgb.DMatrix.R
+++ b/R-package/R/xgb.DMatrix.R
@@ -353,6 +353,9 @@ xgb.QuantileDMatrix <- function(
   )
   data_iterator <- .single.data.iterator(iterator_env)
 
+  env_keep_alive <- new.env()
+  env_keep_alive$keepalive <- NULL
+
   # Note: the ProxyDMatrix has its finalizer assigned in the R externalptr
   # object, but that finalizer will only be called once the object is
   # garbage-collected, which doesn't happen immediately after it goes out
@@ -363,9 +366,10 @@ xgb.QuantileDMatrix <- function(
     .Call(XGDMatrixFree_R, proxy_handle)
   })
   iterator_next <- function() {
-    return(xgb.ProxyDMatrix(proxy_handle, data_iterator))
+    return(xgb.ProxyDMatrix(proxy_handle, data_iterator, env_keep_alive))
   }
   iterator_reset <- function() {
+    env_keep_alive$keepalive <- NULL
     return(data_iterator$f_reset(iterator_env))
   }
   calling_env <- environment()
@@ -553,7 +557,8 @@ xgb.DataBatch <- function(
 }
 
 # This is only for internal usage, class is not exposed to the user.
-xgb.ProxyDMatrix <- function(proxy_handle, data_iterator) {
+xgb.ProxyDMatrix <- function(proxy_handle, data_iterator, env_keep_alive) {
+  env_keep_alive$keepalive <- NULL
   lst <- data_iterator$f_next(data_iterator$env)
   if (is.null(lst)) {
     return(0L)
@@ -566,13 +571,19 @@ xgb.ProxyDMatrix <- function(proxy_handle, data_iterator) {
     stop("Either one of 'group' or 'qid' should be NULL")
   }
   if (is.data.frame(lst$data)) {
-    tmp <- .process.df.for.dmatrix(lst$data, lst$feature_types)
+    data <- lst$data
+    lst$data <- NULL
+    tmp <- .process.df.for.dmatrix(data, lst$feature_types)
     lst$feature_types <- tmp$feature_types
+    data <- NULL
+    env_keep_alive$keepalive <- tmp
     .Call(XGProxyDMatrixSetDataColumnar_R, proxy_handle, tmp$lst)
   } else if (is.matrix(lst$data)) {
+    env_keep_alive$keepalive <- lst
     .Call(XGProxyDMatrixSetDataDense_R, proxy_handle, lst$data)
   } else if (inherits(lst$data, "dgRMatrix")) {
     tmp <- list(p = lst$data@p, j = lst$data@j, x = lst$data@x, ncol = ncol(lst$data))
+    env_keep_alive$keepalive <- tmp
     .Call(XGProxyDMatrixSetDataCSR_R, proxy_handle, tmp)
   } else {
     stop("'data' has unsupported type.")
@@ -712,14 +723,23 @@ xgb.ExtMemDMatrix <- function(
   cache_prefix <- path.expand(cache_prefix)
   nthread <- as.integer(NVL(nthread, -1L))
 
+  # The purpose of this environment is to keep data alive (protected from the
+  # garbage collector) after setting the data in the proxy dmatrix. The data
+  # held here (under name 'keepalive') should be unset (leaving it unprotected
+  # for garbage collection) before the start of each data iteration batch and
+  # during each iterator reset.
+  env_keep_alive <- new.env()
+  env_keep_alive$keepalive <- NULL
+
   proxy_handle <- .make.proxy.handle()
   on.exit({
     .Call(XGDMatrixFree_R, proxy_handle)
   })
   iterator_next <- function() {
-    return(xgb.ProxyDMatrix(proxy_handle, data_iterator))
+    return(xgb.ProxyDMatrix(proxy_handle, data_iterator, env_keep_alive))
   }
   iterator_reset <- function() {
+    env_keep_alive$keepalive <- NULL
     return(data_iterator$f_reset(data_iterator$env))
   }
   calling_env <- environment()
@@ -779,14 +799,17 @@ xgb.QuantileDMatrix.from_iterator <- function( # nolint
 
   nthread <- as.integer(NVL(nthread, -1L))
 
+  env_keep_alive <- new.env()
+  env_keep_alive$keepalive <- NULL
   proxy_handle <- .make.proxy.handle()
   on.exit({
     .Call(XGDMatrixFree_R, proxy_handle)
   })
   iterator_next <- function() {
-    return(xgb.ProxyDMatrix(proxy_handle, data_iterator))
+    return(xgb.ProxyDMatrix(proxy_handle, data_iterator, env_keep_alive))
   }
   iterator_reset <- function() {
+    env_keep_alive$keepalive <- NULL
     return(data_iterator$f_reset(data_iterator$env))
   }
   calling_env <- environment()
diff --git a/R-package/src/xgboost_R.cc b/R-package/src/xgboost_R.cc
index adb9649bf33d..0e7234a18708 100644
--- a/R-package/src/xgboost_R.cc
+++ b/R-package/src/xgboost_R.cc
@@ -687,7 +687,6 @@ XGB_DLL SEXP XGProxyDMatrixSetDataDense_R(SEXP handle, SEXP R_mat) {
   {
     std::string array_str = MakeArrayInterfaceFromRMat(R_mat);
     res_code = XGProxyDMatrixSetDataDense(proxy_dmat, array_str.c_str());
-    R_SetExternalPtrProtected(handle, R_mat);
   }
   CHECK_CALL(res_code);
   R_API_END();
@@ -708,7 +707,6 @@ XGB_DLL SEXP XGProxyDMatrixSetDataCSR_R(SEXP handle, SEXP lst) {
                                         array_str_indices.c_str(),
                                         array_str_data.c_str(),
                                         ncol);
-    R_SetExternalPtrProtected(handle, lst);
   }
   CHECK_CALL(res_code);
   R_API_END();
@@ -722,7 +720,6 @@ XGB_DLL SEXP XGProxyDMatrixSetDataColumnar_R(SEXP handle, SEXP lst) {
   {
     std::string sinterface = MakeArrayInterfaceFromRDataFrame(lst);
     res_code = XGProxyDMatrixSetDataColumnar(proxy_dmat, sinterface.c_str());
-    R_SetExternalPtrProtected(handle, lst);
   }
   CHECK_CALL(res_code);
   R_API_END();
@@ -736,20 +733,17 @@ struct _RDataIterator {
   SEXP f_reset;
   SEXP calling_env;
   SEXP continuation_token;
-  SEXP proxy_dmat;
 
   _RDataIterator(
-    SEXP f_next, SEXP f_reset, SEXP calling_env, SEXP continuation_token, SEXP proxy_dmat) :
+    SEXP f_next, SEXP f_reset, SEXP calling_env, SEXP continuation_token) :
   f_next(f_next), f_reset(f_reset), calling_env(calling_env),
-  continuation_token(continuation_token), proxy_dmat(proxy_dmat) {}
+  continuation_token(continuation_token) {}
 
   void reset() {
-    R_SetExternalPtrProtected(this->proxy_dmat, R_NilValue);
     SafeExecFun(this->f_reset, this->calling_env, this->continuation_token);
   }
 
   int next() {
-    R_SetExternalPtrProtected(this->proxy_dmat, R_NilValue);
     SEXP R_res = Rf_protect(
       SafeExecFun(this->f_next, this->calling_env, this->continuation_token));
     int res = Rf_asInteger(R_res);
@@ -777,7 +771,7 @@ SEXP XGDMatrixCreateFromCallbackGeneric_R(
 
   int res_code;
   try {
-    _RDataIterator data_iterator(f_next, f_reset, calling_env, continuation_token, proxy_dmat);
+    _RDataIterator data_iterator(f_next, f_reset, calling_env, continuation_token);
 
     std::string str_cache_prefix;
     xgboost::Json jconfig{xgboost::Object{}};