The recent observation of TeV-PeV neutrinos by IceCube has opened a new window to the high-energy Universe. These high-energy astrophysical neutrinos are expected to originate from cosmic-ray interactions with gas and radiation. The origin of the IceCube signal is presently unknown and various Galactic and extragalactic source candidates have been proposed. Multi-messenger studies can help to decipher the underlying mechanisms of particle acceleration, propagation, and production. I will highlight in my talk various source scenarios and will discuss multi-messenger constraints from cosmic-ray and gamma-ray observations.