In an increasingly digital world, compliance with data regulations play an important role. More and more individuals are rapidly getting concerned with the way their data is being stored and processed by organizations. Therefore, it is crucial that data processing be subjected to regulatory obligations at its core. Yet, achieving compliance with data regulations requires the entire data processing pipeline to be revisited to embrace data policies as first-class citizens. In this paper, we present our work on novel systems and methods for federated data processing, where the processing of geo-distributed data is subjected to data transfer regulations. We showcase our work on compliant geo-distributed data processing and present research challenges and opportunities for a federated data processing system to make compliance truly its first-class citizens.