Consumer protection regulators have a dual mandate to protect consumers by preventing both fraud and market distortions. Regulatory sandboxes have the potential to mitigate the market distortions created by regulatory barriers to entry and regulatory uncertainty, while maintaining consumer protection through monitoring and enhanced enforcement capabilities. Regulatory sandboxes have been utilized around the world to facilitate innovative financial products and services. Arizona has created the United States’ first regulatory sandbox program. This article identifies the need for regulatory sandboxes, describes sandboxes around the world, discusses the specific details of Arizona’s sandbox, and explains how Arizona is leading the way for regulatory innovation in the United States.