Abstract: The sources of the highest energy cosmic rays are unknown. Within the Milky Way, cosmic rays, which are high energy protons and nuclei, are accelerated to a few PeV by accelerators which have yet to be identified. Even higher energy cosmic rays are thought to be accelerated by distant active galaxies. In both cases, cosmic rays themselves cannot be directly traced back to their sources because they are deflected by the magnetic fields they traverse. Multi-messenger observations can reveal the origin of the cosmic rays through the underlying physics that connects cosmic rays, gamma-rays, and neutrinos. I will present two ongoing works: (1) X-ray observations by Swift-XRT of the Cygnus Cocoon, a gamma-ray source which has been identified as a likely PeV cosmic ray source within the Milky Way, can be used to rule out alternative models of gamma-ray emission thus providing evidence the cosmic ray acceleration model. (2) IceCube neutrinos are an indicator of high energy cosmic ray production. A cross correlation of IceCube neutrinos with a galaxy catalog can constrain the sources that emit extragalactic cosmic rays.