We present the results of our study of the luminous (L
X ≈ 1039 erg s−1) X-ray binary CXOU J121538.2+361921 in NGC 4214, the high-mass X-ray binary with the shortest known orbital period. Using Chandra data, we confirm the ≈13,000 s (3.6 hr) eclipse period, and an eclipse duration of ≈2000 s. From this, we estimate a mass ratio M
2/M
1 ≳ 3 and a stellar density ρ ≈ 6 g cm−3, which implies that the donor must be a Wolf–Rayet or a stripped helium star. The eclipse egress is consistently much slower than the ingress. This can be explained by denser gas located either in front of the compact object (as expected for a bow shock) or trailing the donor star (as expected for a shadow wind, launched from the shaded side of the donor). There is no change in X-ray spectral shape with changing flux during the egress, which suggests either variable partial covering of the X-ray source by opaque clumps or, more likely, a gray opacity dominated by electron scattering in a highly ionized medium. We identify the optical counterpart from Hubble images. Photometry blueward of ∼5500 Å indicates a bright (M
B
≈ −3.6 ± 0.3 mag, for a range of plausible extinctions), hot (T ≈ 90,000 ± 30,000 K) emitter, consistent with the Wolf–Rayet scenario. There is also a bright (M
I
≈ −5.2 mag), cool (T ≈ 2700 ± 300 K) component consistent with an irradiated circumbinary disk or with a chance projection of an unrelated asymptotic giant branch star along the same line of sight.