We prove a rainbow version of the blow-up lemma of Komlós, Sárközy and Szemerédi for $μn$-bounded edge colourings. This enables the systematic study of rainbow embeddings of bounded degree spanning subgraphs. As one application, we show how our blow-up lemma can be used to transfer the bandwidth theorem of Böttcher, Schacht and Taraz to the rainbow setting. It can also be employed as a tool beyond the setting of $μn$-bounded edge colourings. Kim, Kühn, Kupavskii and Osthus exploit this to prove several rainbow decomposition results. Our proof methods include the strategy of an alternative proof of the blow-up lemma given by Rödl and Ruciński, the switching method, and the partial resampling algorithm developed by Harris and Srinivasan.