With an instrumented volume of about 0.015 km3, ANTARES is currently the largest neutrino telescope operating in the Northern Hemisphere. One of its main goals is the detection of high-energy neutrinos from (extra-)galactic astrophysical sources. Such observations would provide important clues about the processes at work in those sources, and possibly help solve the puzzle of ultra-high energy cosmic rays. In this context, ANTARES is developing several on- and off-line programs to improve its capabilities of revealing possible correlations (in space and time) of neutrinos with other cosmic messengers: photons (in different ranges of wavelengths), cosmic rays and gravitational waves.