For the first time a quasi-simultaneous multi-wavelength campaign has been performed on an Anomalous X-ray Pulsar from the radio to the hard X-ray band .
4U 0142+61 was an INTEGRAL target for 1 Ms in July 2005 .
During these observations it was also observed in the X-ray band with Swift and RXTE , in the optical and NIR with Gemini North and in the radio with the WSRT .
In this paper we present the source-energy distribution .
The spectral results obtained in the individual wave bands do not connect smoothly ; apparently components of different origin contribute to the total spectrum .
Remarkable is that the INTEGRAL hard X-ray spectrum ( power-law index 0.79 \pm 0.10 ) is now measured up to an energy of \sim 230 keV with no indication of a spectral break .
Extrapolation of the INTEGRAL power-law spectrum to lower energies passes orders of magnitude underneath the NIR and optical fluxes , as well as the low \sim 30 \mu Jy ( 2 \sigma ) upper limit in the radio band .

\PACS 97.60.Jd 97.60.Gb 95.85.Pw 95.85.Nv 95.85.Kr 95.85.Jq 95.85.Bh