Our recent study of multi-physical modeling and multi-scale computation of nano-optical responses is presented in this paper. The semi-classical theory treats the evolution of the electromagnetic (EM) field and the motion of the charged particles concurently by coupling Maxwell equations with Quantum Mechanics. A new efficient computational framework is proposed (in Bao, Liu, and Luo, A maitiscaie method for optical responses of nano structures; and Bao, Liu, and Luo, Multi-scale modeling and computation of nano-opticalresponses) by integrating the Time Dependent Current Density Functional Theory (TD-CDFT), which leads to the coupled Maxwell-Kohn-Sham equations determining the EM field as well as the current and electron densities simultaneously. In the regime of linear responses, a self-consistent multi-scale method is proposed to deal with the well separated space scales. Related recent research on developing adaptive Finite Element Methods for the Kohn-Sham equation (Bao, Hu, and Liu (2012); Bao, Hu, and Liu (to appear)) is also discussed.