In many interviews, it is often mentioned that you should not trust blindly the opinions, but you should "do your own research". As a software engineer / data scientist, I have enough background to analyse data myself to "do my homework", but where can I find the data? I don't have a deep enough knowledge (yet) about the markets to know what to look for, but it would be interesting to have data available for my own investigations. On some sites like finviz you get access to data about equities, but it's still limited to the US market. I find myself spending most of my time trying to (unsucessfully) find the data mentioned in interviews (or similar data), which is frustrating. I can understand that one needs to pay for good data, but I can't afford a Bloomberg terminal. What are good sources for macro financial data that are affordable for aspiring investors with an average income? Does anyone have a suggestion about a workflow to do your own financial analysis (where to get the data, what analysis methods are interesting, etc)?

Hard to tell what it is you are looking for, equity data, macro data, legal data? 
A lot if it is public and you basically just need to search the official websites (SEC,FRED, IMF, ECB, CDC...). For US-equities some websites have lots of financial data built-in, check www.koyfin.com4 and Tikr (Referral link; https://app.tikr.com/register?ref=q5pfta4). 

For alternative data there is https://www.quandl.com/4 

Here is a fun AUM tracker; https://aum13f.com/5 

 

Have a look at a similar question:
https://exchange.realvision.com/question/what-are-your-favourite-data-sources-for-things-besides-conventional-financ--5f573b704831e82565dd2b2d6

https://fred.stlouisfed.org4 

https://www.barchart.com5

https://www.bis.org/statistics/index.htm4

Here are a few free resources to get started. FRED and BIS is for economic data, Barchart Is a FREE market data/charting software where you can apply some technical studies easily. To see how to blend some fundamental and technical analysis I would highly suggest checking out @Christopher Moir  his latest post on gold vs oil (https://exchange.realvision.com/post/what-do-gold-miners-need-in-order-to-mine-gold-6000338aac6848f87f866ce11 ) is a great example solid research. Also @Weston Nakamura2 who routinely posts research pieces of exceptional thoughtfulness and depth. Find a piece of research that resonates with you and try to recreate it using the sources I linked or others.   

Macro financial data is out there available to the public but is a tremendous pain to gather all of this and do your analysis. That is why you see services that charge money so you can get it all in one platform in a neat format. There are literally hundreds of data to gather. My suggestion would be to subscribe https://www.businesscycle.com/5  for few months and see what they gather and the sources they use then do it yourself.

I would second @Seth Dingle1 suggestions although personally I don't use barchart, the other two definitely.

Although not for extracting and manipulating, but access to Bloombergesque data I can highly recommend Koyfin. Most other data sites concentrate on equities. Koyfin has that plus rates, commodities, currencies etc globally not just US centric. Also you can build your own dashboard for quick looks.

As you highlighted regards data access. If you are charging someone 2&20 to invest their money you can't be making decisions based on data the plebs can access ;) Many use proprietary data gained from source.

I only use research that is public for my investing strategies. I love RV because of the brilliant minds, conversation and amazing viewpoints with data and stats to boot! That said, I research independently. I love going down rabbit holes however; research is my leisure. =)