The gut microbiome interacts with the host through complex networks that affect physiology and health outcomes. It is becoming clear that these interactions can be measured across many different omics layers, including the genome, transcriptome, epigenome, metabolome, and proteome, among others. Multi-omic studies of the microbiome can provide insight into the mechanisms underlying host-microbe interactions. As more omics layers are considered, increasingly sophisticated statistical methods are required to integrate them. In this review, we provide an overview of approaches currently used to characterize multi-omic interactions between host and microbiome data. While a large number of studies have generated a deeper understanding of host-microbiome interactions, there is still a need for standardization across approaches. Furthermore, microbiome studies would also benefit from the collection and curation of large, publicly available multi-omics datasets.