Nuclear regions of galaxies are believed to play a central role in  their evolution. But the interplay among the three major components,  the interstellar medium (ISM), stars, and massive black holes (MBHs) is hardly understood. I will discuss an ongoing multiwavelength study of these components in the nuclear regions of M31 and our Galaxy. This study is based on a combination of observations from Chandra, Hubble, and Spitzer, as well as ground-based telescopes. Preliminary results include the detection of X-ray flares from the MBH and evidence for the interaction between a nuclear cool gas disk and a Ia supernova-driven hot gas outflow in M31 as well as an unprecedented  large-scale high-resolution mapping of stars and diffuse ionized gas  in the central region of our Galaxy. We will address such questions as: Where and how do massive stars form in the extreme galactic nuclear environment? Is  there evidence for a bottom-light initial mass function of stars? How do stellar clusters dissolve? How is the ISM distributed, heated, and transported around the MBHs? And how the activities of the MBHs are triggered? Answering these questions will represent a critical step in  understanding properties of other galactic nuclei and how the ISM, stars, and MBHs regulate each other and affect the evolution of  galaxies as whole.