Single cell transcriptomics (scRNA-seq) has transformed our ability to discover and annotate cell types and states, but deep biological understanding requires more than a taxonomic listing of clusters. As new methods arise to measure distinct cellular modalities, including high-dimensional immunophenotypes, chromatin accessibility, and spatial positioning, a key analytical challenge is to integrate these datasets into a harmonized atlas that can be used to better understand cellular identity and function. Here, we develop a computational strategy to "anchor" diverse datasets together, enabling us to integrate and compare single cell measurements not only across scRNA-seq technologies, but different modalities as well. After demonstrating substantial improvement over existing methods for data integration, we anchor scRNA-seq experiments with scATAC-seq datasets to explore chromatin differences in closely related interneuron subsets, and project single cell protein measurements onto a human bone marrow atlas to annotate and characterize lymphocyte populations. Lastly, we demonstrate how anchoring can harmonize in-situ gene expression and scRNA-seq datasets, allowing for the transcriptome-wide imputation of spatial gene expression patterns, and the identification of spatial relationships between mapped cell types in the visual cortex. Our work presents a strategy for comprehensive integration of single cell data, including the assembly of harmonized references, and the transfer of information across datasets.Availability: Installation instructions, documentation, and tutorials are available at: https://www.satijalab.org/seurat effective, they can also struggle in cases where only a subset of cell types are shared across datasets, or significant technical variation masks shared biological signal. Additionally, these methods focus on scRNA-seq and are not designed to integrate information across different modalities, nor do they enable the transfer of information from one dataset to another.Here, we present a unified strategy for reference assembly and transfer learning for transcriptomic, epigenomic, proteomic, and spatially-resolved single cell data. Through the identification of cell pairwise correspondences between single cells across datasets, termed "anchors", we can transform datasets into a shared space, even in the presence of extensive technical and/or biological differences. This enables the construction of harmonized atlases at the tissue or organismal scale. These anchors also enable effective transfer of discrete or continuous data from a reference onto a query dataset. This allows for the transfer of cell labels learned from scRNA-seq onto scATAC-seq data to explore differences in the regulatory landscape between distinct interneuron subsets, and the transfer of protein measurements 3 onto massive public resources to characterize lymphoid populations in human bone marrow. Finally, the anchoring of STARmap and scRNA-seq datasets enables the transcriptome-wide imputation of spatial gene expression pattern...