Machine learning has brought striking advances in multilingual natural language processing capabilities over the past year. For example, the latest techniques have improved the state-of-the-art performance on the XTREME multilingual benchmark by more than 13 points. While a sizeable gap to human-level performance remains, improvements have been easier to achieve in some tasks than in others. This paper analyzes the current state of cross-lingual transfer learning and summarizes some lessons learned. In order to catalyze meaningful progress, we extend XTREME to XTREME-R, which consists of an improved set of ten natural language understanding tasks, including challenging language-agnostic retrieval tasks, and covers 50 typologically diverse languages. In addition, we provide a massively multilingual diagnostic suite and fine-grained multi-dataset evaluation capabilities through an interactive public leaderboard to gain a better understanding of such models.