Massive stars in their late stages of evolution as Red Supergiants experience mass loss. The resulting winds show various degrees of dynamical and chemical complexity and produce molecules and dust grains. This review summarises our knowledge of the molecular and dust components of the wind of Red Supergiants, including VY CMa and Betelgeuse. We discuss the synthesis of dust as a non-equilibrium process in stellar winds, and present the current knowledge of the chemistry involved in the formation of oxygen-rich dust such as silicates and metal oxides.