diff --git a/ax/core/data.py b/ax/core/data.py
index de2fbde8a19..d22481ff720 100644
--- a/ax/core/data.py
+++ b/ax/core/data.py
@@ -270,15 +270,14 @@ def from_multiple(
         Args:
             data: Iterable of Ax objects of this class to combine.
         """
-        incompatible_types = {
-            type(datum) for datum in data if not isinstance(datum, cls)
-        }
-        if incompatible_types:
-            raise TypeError(
-                f"All data objects must be instances of class {cls}. Got "
-                f"{incompatible_types}."
-            )
-        dfs = [datum.df for datum in data]
+        dfs = []
+        for datum in data:
+            if not isinstance(datum, cls):
+                raise TypeError(
+                    f"All data objects must be instances of class {cls}. Got "
+                    f"{type(datum)}."
+                )
+            dfs.append(datum.df)
 
         if len(dfs) == 0:
             return cls()
diff --git a/ax/core/tests/test_data.py b/ax/core/tests/test_data.py
index 1e6f4d4e875..e5c7e05593d 100644
--- a/ax/core/tests/test_data.py
+++ b/ax/core/tests/test_data.py
@@ -290,6 +290,10 @@ def test_FromMultipleDataMismatchedTypes(self) -> None:
             )
             Data.from_multiple_data([data_elt_A, data_elt_B])
 
+    def test_from_multiple_with_generator(self) -> None:
+        data = Data.from_multiple_data(Data(df=self.df) for _ in range(2))
+        self.assertEqual(len(data.df), 2 * len(self.df))
+
     def test_GetFilteredResults(self) -> None:
         data = Data(df=self.df)
         # pyre-fixme[6]: For 1st param expected `Dict[str, typing.Any]` but got `str`.