We performed continuous monitoring, from 2019 September 14 to September 19, of the gamma-ray blazar BL Lacertae with NuSTAR at 3-79 keV and with the Neil Gehrels Swift Observatory using the XRT at 0.3-10 keV and UVOT in the ultraviolet range every three hours. During this period, the source was in the field-of-view of the Transiting Exoplanet Survey Satellite (TESS), which provides an optical light curve of the blazar with a cadence of 30 minutes. In addition, we carried out intense optical polarimetric (R band) and photometric (BVRI) monitoring of the source with the 1.83 m Perkins Telescope (Flagstaff, AZ). During these five days, BL Lacertae varied from 13.5 mag to 12.8 mag in R band, with degree of polarization changing within a range from 5% to 10% and electric vector position angle of polarization varying from +15 to -22 degrees. We present multi-wavelength light curves and polarization curves of the blazar and perform correlation analysis among the different light curves. We discuss delays between variations at different energies, relative locations of emission regions, and parameters of turbulence involved in photon production at different frequencies. This research is supported by NASA grants 80NSSC19K1731 (TESS), 80NSSC19K1505 (Fermi), and the NuSTAR guest investigator program.