Broad-band observations of Gamma-Ray Burst (GRB) afterglows allow to characterize the physical processes that play a role in the electromagnetic emission. In addition, they represent a tool to constrain indirectly the nature of the progenitor, by giving information on the density and structure of the circumburst medium, on the energetics and geometry of the explosion. The investigation of the progenitor can also be performed by searching for other signals that may carry more direct information on its nature, as for the expected emission in gravitational waves (GWs). In this framework, an analysis of GRB sources carried out in both the electromagnetic and GW domains is presented. Attention is given to the role of inverse Compton emission, by analyzing the cases of GRB 990123 and XRF 050406. Constrains on the fireball geometry are derived from a systematic analysis of X-ray afterglows observed by XMM-Newton and Chandra. The possible evidence for a wind signature is considered for the afterglow of GRB 050904. First results of an analysis aimed to perform a comparative study of long and short GRB afterglows are shown. Finally, GRB 050915a is discussed as sample case for a parallel study in the GW domain.