The charity said people travelling outside the EU can face bills of thousands of pounds due to high charges and because they do not realise how quickly costs can rise or even that they are using roaming data.
It is urging the Government and providers to work on a voluntary agreement to stop shock bills, which would include more warnings for consumers about costs and a voluntary price cap.
Within the EU, the highest per megabyte roaming rate is capped at 17p, but outside the EU this does not apply - and researchers found it can cost up to £12.50, the charity warned.
Citizens Advice found that, for example, watching an episode of EastEnders could cost up to £1,360 in Turkey, compared with a maximum of £32 inside the EU.
Some of the people the charity has helped include military personnel who were billed for thousands of pounds after leaving their data roaming on while deployed abroad and a holidaymaker who turned on data roaming to download an album while in Egypt and was charged £1,500.
Consumers pay different rates depending on which provider their contract is with, where they travel, and whether they have bought a "bolt-on" which gives them a set amount of data to use abroad for a fixed cost.
Currently, providers need to send a warning message to customers who are outside the EU when a bill reaches 50 euro (around £35), asking them if they want to continue.
But Citizens Advice said that because there was no requirement to contact the customer again, consumers could ratchet up much higher bills without knowing.
To protect themselves against high charges, consumers can check that their data roaming is off and contact their provider to find out their tariff - but Citizens Advice wants companies to do more to help.
It wants to see a voluntary agreement which would include standard warnings for customers about how much they were spending on data at regular intervals above the 50 euro level, and a maximum per megabyte cost, so customers had clarity over how much it cost to use data outside the EU.
It also wanted to see measures introduced to ensure customers who were hit by unexpectedly high bills were treated fairly and that money was not recouped immediately and people were not pushed into debt.
Gillian Guy, chief executive of Citizens Advice, said: "Using the internet on your mobile abroad can cost more than the holiday itself.
"Most people don't think in megabytes, and don't choose their mobile provider based on roaming rates.
"The market shouldn't be a lottery where some customers can be unwittingly plunged into life-changing amounts of debt just because they used their phone.
"A voluntary price cap would help better protect customers and companies could do more by giving more warnings to customers if their bills start to rise."
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