We present the results of extensive multi-frequency monitoring of the radio galaxy 3C 111 between 2004 and 2010 at X-ray (2.4-10keV), optical (R band), and radio (14.5, 37, and 230GHz) wave bands, as well as multi-epoch imaging with the Very Long Baseline Array (VLBA) at 43GHz. Over the six years of observation, significant dips in the X-ray light curve are followed by ejections of bright superluminal knots in the VLBA images. This shows a clear connection between the radiative state near the black hole, where the X-rays are produced, and events in the jet. The X-ray continuum flux and Fe line intensity are strongly correlated, with a time lag shorter than 90 days and consistent with zero.