We report on observations of the nova-like cataclysmic variable AE Aqr performed by MAGIC. The observations were part of a quasi-simultaneous multi-wavelength campaign carried out between 2012 May and June covering the optical, UV, X-ray and gamma-ray ranges. MAGIC conducted the campaign and observed the source during 12 hours. The other instruments involved were KVA, Skinakas, and Vidojevica in the optic and Swift in the X-ray. We also used optical data from the AAVSO. The goals were to: monitor the variability of the source at different wavelengths, perform gamma-ray studies coincident with the highest states of the source at the other wavelengths, and confirm or rule out previous claims of detection of very-high-energy emission from this object. We report on a search for steady TeV emission during the whole observation, for variable TeV emission coincident with the highest optical and X-ray states and periodic TeV emission at the 33.08 s rotation period (30.23 mHz rotation frequency) of the white dwarf and its first harmonic (60.46 mHz rotation frequency). These are the first observations under good weather conditions performed by the present generation of IACTs for this object.