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Data science agents promise to accelerate discovery and insight-generation by turning data into executable analyses and findings. Yet existing data science benchmarks fall short due to fragmented evaluation interfaces that make cross-benchmark comparison difficult, narrow task coverage and a lack of rigorous data grounding. In particular, we show that a substantial portion of tasks in current benchmarks can be solved without using the actual data. To address these limitations, we introduce DSGym, a standardized framework for evaluating and training data science agents in self-contained execution environments. Unlike static benchmarks, DSGym provides a modular architecture that makes it easy to add tasks, agent scaffolds, and tools, positioning it as a live, extensible testbed. We curate DSGym-Tasks, a holistic task suite that standardizes and refines existing benchmarks via quality and shortcut solvability filtering. We further expand coverage with (1) DSBio: expert-derived bioinformatics tasks grounded in literature and (2) DSPredict: challenging prediction tasks spanning domains such as computer vision, molecular prediction, and single-cell perturbation. Beyond evaluation, DSGym enables agent training via execution-verified data synthesis pipeline. As a case study, we build a 2,000-example training set and trained a 4B model in DSGym that outperforms GPT-4o on standardized analysis benchmarks. Overall, DSGym enables rigorous end-to-end measurement of whether agents can plan, implement, and validate data analyses in realistic scientific context.