In robotics and computer vision communities, extensive studies have been widely conducted regarding surveillance tasks, including human detection, tracking, and motion recognition with a camera. Additionally, deep learning algorithms are widely utilized in the aforementioned tasks as in other computer vision tasks. Existing public datasets are insufficient to develop learning-based methods that handle various surveillance for outdoor and extreme situations such as harsh weather and low illuminance conditions. Therefore, we introduce a new large-scale outdoor surveillance dataset named eXtremely large-scale Multi-modAl Sensor dataset (X-MAS) containing more than 500,000 image pairs and the first-person view data annotated by well-trained annotators. Moreover, a single pair contains multi-modal data (e.g. an IR image, an RGB image, a thermal image, a depth image, and a LiDAR scan). This is the first large-scale first-person view outdoor multi-modal dataset focusing on surveillance tasks to the best of our knowledge. We present an overview of the proposed dataset with statistics and present methods of exploiting our dataset with deep learning-based algorithms. The latest information on the dataset and our study are available at https://github.com/lge-robot-navi, and the dataset will be available for download through a server.