We present a multiwavelength study of a sample of far-infrared (FIR) sources detected on the Herschel broad--band maps of the nearby galaxy M33. We perform source photometry on the FIR maps as well as mid-infrared (MIR), H$\alpha$, far-ultraviolet and integrated HI and CO line emission maps. By fitting MIR/FIR dust emission spectra, the source dust masses, temperatures and luminosities are inferred. The sources are classified based on their H$\alpha$ morphology (substructured versus not-substructured) and on whether they have a significant CO detection ($S/N>$3$\sigma$). We find that the sources have dust masses in the range 10$^2$-10$^4$~M$_\odot$ and that they present significant differences in their inferred dust/star formation/gas param...