The observation of electromagnetic counterparts to both high energy neutrinos and gravitational waves marked the beginning of a new era in astrophysics. The multi-messenger approach allows us to gain new insights into the most energetic events in the Universe such as gamma-ray bursts, supernovas, and black hole mergers. Real-time multi-messenger alerts are the key component of the observational strategies to unravel the transient signals expected from astrophysical sources. Focusing on the high-energy regime, we present a historical perspective of multi-messenger observations, the detectors and observational techniques used to study them, the status of the multi-messenger alerts and the most significant results, together with an overview of the future prospects in the field.