We review the efforts to identify the counterparts of $\gamma$-ray bursts conducted at NMSU. We report on the rapid search of the 31 January 1993 $\gamma$-ray error box. Our optical CCD images of a portion of the COMPTEL 1$\sigma$ error box, obtained only 12 hours after the burst event, revealed a faint optical transient. This transient was located $1.02^{\rm o}$ from the Inter-Planetary Network (IPN) error annulus, and was probably not associated with the GRB930131 event. We present ROSAT observations of the COMPTEL error boxes of two recent $\gamma$-ray bursts: GRB910601, and GRB910814. In both cases, strong X-ray sources were found within the COMPTEL error boxes, and close to the IPN error annuli. Follow-up optical imaging has allowed us to identify possible optical counterparts for some of these X-ray sources. We also present results from an optical photometric and proper motion study of a number of $\gamma$-ray error boxes, including photometry of many of the most recent IPN error annuli. A number of interesting objects were found in and/or near most of these $\gamma$-ray error boxes.