The search for the sources of ultra-high energy cosmic rays (UHECR) is the prime motivation for operating high energy gamma-ray-, neutrino-, and cosmic ray observatories around the globe. Cosmic rays are observed to energies reaching beyond 10^20 eV but their sources cannot be identified easily because cosmic rays suffer deflections in galactic and intergalactic magnetic fields. High energy photons and neutrinos, expected as secondary particles from hadronic interactions at or near the sources, propagate without any deflection and would allow seeing the UHECR sources. However, photons can result also from pure electromagnetic processes and neutrinos did not exhibit any point source, yet. To advance the field, information from the three high energy probes is being combined and more recently, also gravitational waves were added for specific transient sources. In fact, last years first simultaneous observation of gravitational waves and electromagnetic emission from the neutron star merger GW170817 is generally considered the start of multi-messenger astronomy. In this talk, we shall highlight benefits from joint observations and we review some recent results, including the search for neutrinos from the neutron star merger GW170817, the study of cross correlations of neutrinos and UHECR, the first significant observations of anisotropies in the UHECR sky above 8 EeV, and evidence of an excess of arrivals from strong nearby sources at energies above 40 EeV.