High mass X-ray binaries are among the brightest X-ray sources in the Milky Way, as well as in nearby Galaxies. Thanks to their highly variable emissions and complex phenomenology, they have attracted the interest of the high energy astrophysical community since the dawn of X-ray Astronomy. In more recent years, they have challenged our comprehension of physical processes in many more energy bands, ranging from the infrared to very high energies.In this review, we provide a broad but concise summary of the physical processes dominating the emission from high mass X-ray binaries across virtually the whole electromagnetic spectrum. These comprise the interaction of stellar winds with the high gravitational and magnetic fields of compact objec...