All data modalities are not created equal, even when the signal they measure comes from the same source. In the case of the brain, two of the most important data modalities are the scalp electroencephalogram (EEG), and the intracranial electroencephalogram (iEEG). iEEG benefits from a higher signal-to-noise ratio (SNR), as it measures the electrical activity directly in the brain, while EEG is noisier and has lower spatial and temporal resolutions. Nonetheless, both EEG and iEEG are important sources of data for human neurology, from healthcare to brain–machine interfaces. They are used by human experts, supported by deep learning (DL) models, to accomplish a variety of tasks, such as seizure detection and motor imagery classification. Although the differences between EEG and iEEG are well understood by human experts, the performance of DL models across these two modalities remains under-explored. To help characterize the importance of clean data on the performance of DL models, we propose BrainCodec, a high-fidelity EEG and iEEG neural compressor. We find that training BrainCodec on iEEG and then transferring to EEG yields higher reconstruction quality than training on EEG directly. In addition, we also find that training BrainCodec on both EEG and iEEG improves fidelity when reconstructing EEG. Our work indicates that data sources with higher SNR, such as iEEG, provide better performance across the board also in the medical time-series domain. This finding is consistent with reports coming from natural language processing, where clean data sources appear to have an outsized effect on the performance of the DL model overall. BrainCodec also achieves up to a 64x compression on iEEG and EEG without a notable decrease in quality. BrainCodec markedly surpasses current state-of-the-art compression models both in final compression ratio and in reconstruction fidelity. We also evaluate the fidelity of the compressed signals objectively on a seizure detection and a motor imagery task performed by standard DL models. Here, we find that BrainCodec achieves a reconstruction fidelity high enough to ensure no performance degradation on the downstream tasks. Finally, we collect the subjective assessment of an expert neurologist, that confirms the high reconstruction quality of BrainCodec in a realistic scenario. The code is available at https://github.com/IBM/eeg-ieeg-brain-compressor.