High-mass X-ray binaries (HMXBs) are exceptional astrophysical laboratories that offer a rare glimpse into the physical processes that govern accretion on compact objects, massive-star winds, and stellar evolution. In a subset of the HMXBs, the compact objects accrete matter solely from winds of massive donor stars. These so-called wind-fed HMXBs are divided in persistent HMXBs and supergiant fast X-ray transients (SFXTs) according to their X-ray properties. While it has been suggested that this dichotomy depends on the characteristics of stellar winds, they have been poorly studied. With this investigation, we aim to remedy this situation by systematically analyzing donor stars of wind-fed HMXBs that are observable in the UV, concentrating on those with neutron star (NS) companions. We obtained Swift X-ray data, HST UV spectra, and additional optical spectra for all our targets. Our multi-wavelength approach allows us to provide stellar and wind parameters for six donor stars (four wind-fed systems and two OBe X-ray binaries). The wind properties are in line with the predictions of the line-driven wind theory. Three of the donor stars are in an advanced evolutionary stage, while for some of the stars, the abundance pattern indicates that processed material might have been accreted. When passing by the NS in its tight orbit, the donor star wind has not yet reached its terminal velocity but it is still significantly slower; its speed is comparable with the orbital velocity of the NS companion. There are no systematic differences between the two types of wind-fed HMXBs (persistent versus transients) with respect to the donor stars. For the SFXTs in our sample, the orbital eccentricity is decisive for their transient X-ray nature. Based on the orbital parameters and the further evolution of the donor stars, the investigated HMXBs will presumably form Thorne-.Zytkow objects in the future.