High Mas X-ray Binary Systems are important sources of information for many astrophysical fields of research. They are composed by a compact object (black hole or neutron star) and an early type star (usually known as the optical companion). Mass transfer from the later onto the compact companion ends up as very bright emission of high energy photons. The multi-wavelength approach becomes mandatory in order to understand these systems: a) Optical and IR bands are used to characterize the optical companion, b) Mass transfer and the local ambient matter in these systems can be traced in UV and IR bands, c) The behavior and properties of the compact companion can be inferred from X-rays/gamma-rays observations, etc. We will review how this approach helps to understand the behavior of several peculiar systems, including the discovery of optical counterparts, the estimation of compact object masses, the characterization of the ambient matter (local extinction), etc.