Many years ago it was revealed that multiple governments were participating in a program called the Echelon Project, where they had monitors on certain major information traffic hubs, such as the huge undersea cables that carry phone traffic between countries. It was denied for a long time but several whistleblowers revealed it and it was eventually fully uncovered when the Australian government admitted to being a participant.
So, in addition to what other people are saying about how they can just request your personal data from social media and other sources, many governments run covert programs to scrape data directly from the sources.
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