First I had a screening call with the recruitment agency, that involved a couple of puzzle questions. A few days later I had a 40-min call with a Deployment Strategist at the London office, and then 3 on site interviews. All interviews with the Palantir staff were quite pleasant. The purpose of the phone interview was to test if you understand the company mission and type of projects they work on. So google for all the latest articles on Palantir's work. During the onsite interviews, they'll be interested in your personality as much as your problem solving skills. Since the job involves dealing with non-technical executives, they will ask you to expand on a few technical topics (preferably from your past work) as if you are talking to a layman. There were also a few problem-solving questions.

They really want to get to know you throughout the process, and see how you think about data in different ways and how you solve problems. You have to build a product which takes a long time.