We present results from multi-wavelength observations of the Wolf-Rayet (WR) blue compact dwarf galaxy He 2-10. These observations include Hα and optical red continuum imaging, high resolution Hα spectroscopy, high resolution radio-continuum mapping at 4.80 and 8.64 GHz and ROSAT X-ray observations. The deep Hα images reveal that the galaxy is surrounded by a complex kiloparsec-scale bipolar superbubble centered on the most intense star forming knot. High-resolution spectroscopy of this feature indicates that it has a complex structure of possibly different kinematic components expanding at velocities from <=50 km s(-1) up to 250 km s(-1) . These kinds of outflows are likely to be produced by the mechanical action of stellar winds and supernova (SN) explosions in the intense starbursts that the galaxy hosts. This scenario is consistent with the finding of a steep overall radio spectral index (alpha =-0.59) that confirms the presence of a large number of supernova remnants ( ~ 3750) in the galaxy. The study of radio spectral index throughout the galaxy shows that the eastern parts have significantly steeper spectra. These radio regions have no counterparts in our Hα or X-ray images. The X-ray emission extends to a similar scale as the Hα emission. The extensions of the X-ray distribution towards northeast and southwest appears to be well spatially correlated with the position of the bipolar lobes indicating the hot gas is confined inside the bubbles. The comparison between the energetics of the outflows and the expected mechanical energy released by the supernovae and stellar winds indicates that the large-scale expanding structures can be powered by the massive star population of the galaxy and, therefore, can be considered a galactic wind. Estimates of the escape velocity of the galaxy indicate that part of the large-scale outflows can escape the weak potential well of the galaxy, reinforcing the possibility of a blowout in He 2-10.