Given a graph with its vertex set partitioned into a set of groups, nonnegative costs associated to its edges, and nonnegative prizes associated to its vertices, the prize‐collecting generalized minimum spanning tree problem consists in finding a subtree of this graph that spans exactly one vertex of each group and minimizes the sum of the costs of the edges of the tree less the prizes of the selected vertices. It is a generalization of the NP‐hard generalized minimum spanning tree optimization problem. We propose a GRASP (greedy randomized adaptive search procedure) heuristic for its approximate solution, incorporating path‐relinking for search intensification and a restart strategy for search diversification. The hybridization of the GRASP with path‐relinking and restarts heuristic with a data mining strategy that is applied along with the GRASP iterations, after the elite set is modified and becomes stable, contributes to making the heuristic more robust. The computational experiments show that the heuristic developed in this work found very good solutions for test problems with up to 439 vertices. All input data for the test instances and detailed numerical results are made available from Mendeley Data.