GW170817, the joint observation of a binary neutron star merger (BNS) in both the gravitational and electromagnetic sectors, led to the largest campaign of follow-up by space and ground based instruments. The whole electromagnetic spectrum has been covered, from the gamma ray with the detection of a GRB associated to the merger, to the optical with the first confirmed kilonova, down to the radio with the afterglow emission of the GRB. GW170817 marked the birth of multi-messenger astronomy with gravitational waves. Two years later, between April 2019 and March 2020, the O3 observing run of LIGO and Virgo led to tens of new gravitational wave detections, including the first detection of a neutron star-black hole merger and the second BNS merger. Along with the gravitational observations, many searches for counterparts in other sectors were performed. In this seminar, I will focus on the gamma and optical bands. On the gamma side, I will describe searches aiming at combining gamma-ray data from the Fermi and Swift satellites with O3 data from LIGO and Virgo. Although no new confident associations have been made, these searches allow us to constrain both the luminosity distance of many gamma-ray bursts, and the rate of observations of gamma-ray events associated with gravitational waves. On the optical side, I will review the interest of the kilonova follow-up, the difficulties linked to these observations, and the follow-up campaign done by the GRANDMA network during the O3 run. Finally, I will conclude with some prospects for multi-messenger astronomy during the next observing run of LIGO-Virgo, expected to start at the end of this year.