We have monitored the early evolution of the transient X‐ray source GRO J0422+32 from approximately 2 weeks post‐discovery and into its early decline phase at ultraviolet, optical and radio wavelengths. Optical and ultraviolet spectra, obtained with the Perkins 1.8‐m telescope and with IUE respectively, exhibit numerous, but relatively weak, high‐excitation emission lines such as those arising from He ii, N iii, N v, and C iv superposed on a very blue continuum. We find that the ultraviolet and optical characteristics of GRO J0422+32 as well as its radio evolution, are similar to other recent well‐observed X‐ray novae or soft X‐ray transients such as Cen X‐4, V616 Mon, and Nova Muscae 1991, which suggests that GRO J0422+32 is also a member of that subclass of low mass X‐ray binaries (LMXBs). Further observations as GRO J0422+32 declines into quiescence will be required to determine whether the compact object is a neutron star or a black hole.