Provided are a method, system, and program for establishing copy relationships to copy source data to target data. A request is received to establish a copy relationship indicating to copy source data to target data. A determination is made as to whether the source data defined in the request comprises target data defined in a preexisting copy relationship. A determination is made as to whether base source data copied to the target data in the preexisting copy relationship also comprises the source data indicated in the request in response to determining that the source data defined in the request comprises target data in the preexisting copy relationship. A new copy relationship is defined to copy the determined base source data to the target data indicated in the request.