Millisecond Pulsars (MSPs) are fast rotating, highly magnetized neutron stars. According to the canonical recycling scenario, MSPs form in binary systems containing a neutron star which is spun up through mass accretion from the evolving companion. Therefore, the final stage consists of a binary made of a MSP and the core of the deeply peeled companion. In the last years, however an increasing number of systems deviating from these expectations has been discovered, thus strongly indicating that our understanding of MSPs is far to be complete. The identification of the optical companions to binary MSPs is crucial to constrain the formation and evolution of these objects. In dense environments such as Globular Clusters (GCs), it also allows us to get insights on the cluster internal dynamics. By using deep photometric data, acquired both from space and ground-based telescopes, we identified 5 new companions to MSPs. Three of them being located in GCs and two in the Galactic Field. The three new identifications in GCs increased by 50% the number of such objects known before this Thesis. They all are non-degenerate stars, at odds with the expectations of the canonical recycling scenario. These results therefore suggest either that transitory phases should also be taken into account, or that dynamical processes, as exchange interactions, play a crucial role in the evolution of MSPs. We also performed a spectroscopic follow-up of the companion to PSR J1740-5340A in the GC NGC 6397, confirming that it is a deeply peeled star descending from a ~0.8$M_{odot}$ progenitor. This nicely confirms the theoretical expectations about the formation and evolution of MSPs.
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