A generalisation of the concept of monochromatic electromagnetic waves guided by layered waveguide structures filled with non-linear medium is introduced. This generalisation leads to guided waves of a novel type: a non-linear multi-frequency guided wave. The existence of such waves, in particular guide structures, is proven using the perturbation method. Numerical experiments are presented for non-linear 1- and 2-frequency guided waves in plane and cylindrical (with a circular cross-section) waveguides. Numerically, a novel non-linear effect is found for particular cases of non-linear multi-frequency guided waves. The suggested generalisation gives not only a unified approach to treat various electromagnetic wave propagation problems but also paves the way to study non-linear interactions of guided waves.