We present results of multi-wavelength (MWL) observations of the high-frequency-peaked BL Lacertae (HBL) object 1ES 0806+524 (z=0.138). Triggered by a high optical state, very high energy (VHE; E > 100 GeV) observations were carried out with the MAGIC stereoscopic system from January to March 2011. During the observations a relatively short VHE gamma-ray flare was detected that lasted no longer than one night. To complement the VHE observations, simultaneous MWL data were collected in high energy gamma-rays using the textit{Fermi Large Area Telescope (HE, 300 MeV - 100 GeV), in the X-ray and UV band with the textit{Swift} satellite, in the optical R--band through observations with the KVA telescope and in the radio band using the OVRO telescope. This constitutes the first time that such a broad band coverage has been obtained for this source. We study the source properties through the characterization of the spectral energy distribution (SED) and its evolution through two different VHE flux states. The SED can be modeled with a simple one-zone SSC model, resulting in parameters that are comparable to those obtained for other HBLs.