About 0.4 s after the Laser Interferometer Gravitational-Wave Observatory (LIGO) detected a transient gravitational-wave (GW) signal GW150914, the Fermi Gamma-ray Burst Monitor (GBM) also found a weak electromagnetic transient (GBM transient 150914). Time and location coincidences favor a possible association between GW150904 and GBM transient 150914. Under this possible association, we adopt Fermi's electromagnetic (EM) localization and derive constraints on possible violations of the Weak Equivalence Principle (WEP) from the observations of two events. Our calculations are based on four comparisons: (1) The first is the comparison of the initial GWs detected at the two LIGO sites. From the different polarizations of these initial GWs, we obtain a limit on any difference in the parametrized post-Newtonian (PPN) parameter ∆γ 10 −10 . (2) The second is a comparison of GWs and possible EM waves. Using a traditional super-Eddington accretion model for GBM transient 150914, we again obtain an upper limit ∆γ 10 −10 . Compared with previous results for photons and neutrinos, our limits are five orders of magnitude stronger than those from PeV neutrinos in blazar flares, and seven orders stronger than those from MeV neutrinos in SN1987A. (3) The third is a comparison of GWs with different frequencies in the range [35 Hz, 250 Hz]. (4) The fourth is a comparison of EM waves with different energies in the range [1 keV, 10 MeV]. These last two comparisons lead to an even stronger limit, ∆γ 10 −8 . Our results highlight the potential of multi-messenger signals exploiting different emission channels to strengthen existing tests of the WEP.