Cosmic rays are charged particles (mainly protons) that bombard the Earth from all directions reaching energies up to 10 million times what can be archived by the most powerful man-made accelerator, the LHC. Their origin is difficult to trace, because cosmic rays are deflected by magnetic fields on their journey from their source to Earth. However, cosmic rays produce gamma-ray photons and neutrinos in interactions with matter and photon fields in or close to their source. Being neutral those secondary particles can travel undeflected and ultimately point back to the source. While gamma rays are not solely produced in interactions of cosmic ray protons, neutrinos provide a smoking-gun signature for acceleration of protons (or heavier nuclei). A diffuse flux of cosmic neutrinos was first discovered by the cubic-kilometer-sized IceCube detector located at the South Pole in 2013. I will present the ongoing search for the origin of those neutrinos using multi-messenger studies and discuss promising candidate sources including the gamma ray blazar TXS 0506+056, the tidal disruption event AT2019dsg and the nearby Seyfert galaxy NGC 1068.