With data breach costs soaring to USD 4.88 million globally, UK and EU regulators are mandating that organisations maintain sovereign control over AI systems and sensitive data. As the UK pioneers the world's first AI cybersecurity standards and the EU enforces strict data residency requirements, businesses face a critical choice: deploy secure, sovereign AI solutions or risk multi-million-pound regulatory penalties. This comprehensive guide explores how organisations can leverage GenAI, Agentic AI, and RAG knowledge bases whilst ensuring complete data sovereignty through UK and EU-compliant infrastructure deployments.