Provided are a method, system, and program for forming a consistency group of data. A command is received to form a consistency group with respect to data received at a first storage site that is mirrored to a second storage site. A first data structure is provided indicating updates to the first storage site not included in the consistency group that are received after the command and a second data structure is provided indicating updates to the first storage site in the consistency group to be formed. A command is transmitted to cause data copied to the second storage site that is part of the consistency group to be copied to a third storage site. Indication is received when the data in the second storage site that is part of the consistency group is copied to the third storage site.