We report on the first simultaneous observations that cover the optical, X-ray, and high-energy gamma-ray bands of the BL Lac object PKS 2155-304. The gamma-ray bands were observed for 11 days, between 2008 August 25 and 2008 September 6 (MJD 54704-54715), jointly with the Fermi Gamma-ray Space Telescope and the HESS atmospheric Cherenkov array, providing the first simultaneous MeV-TeV spectral energy distribution (SED) with the new generation of gamma-ray telescopes. The ATOM telescope and the RXTE and Swift observatories provided optical and X-ray coverage of the low-energy component over the same time period. The object was close to the lowest archival X-ray and very high energy (VHE; > 100 GeV) state, whereas the optical flux was much higher. The light curves show relatively little (similar to 30%) variability overall when compared to past flaring episodes, but we find a clear optical/VHE correlation and evidence for a correlation of the X-rays with the high-energy spectral index. Contrary to previous observations in the flaring state, we do not find any correlation between the X-ray and VHE components. Although synchrotron self-Compton models are often invoked to explain the SEDs of BL Lac objects, the most common versions of these models are at odds with the correlated variability we find in the various bands for PKS 2155-304.