International enterprises, organizations, and hospitals collect large amounts of multi-modal data stored in databases, text documents, images, and videos. While there has been recent progress in the separate fields of multi-modal data exploration as well as in database systems that automatically translate natural language questions to database query languages, the research challenge of querying both structured databases and unstructured modalities (e.g., texts, images) in natural language remains largely unexplored. In this paper, we propose M$^2$EX -a system that enables multi-modal data exploration via language agents. Our approach is based on the following research contributions: (1) Our system is inspired by a real-world use case that enables users to explore multi-modal information systems. (2) M$^2$EX leverages an LLM-based agentic AI framework to decompose a natural language question into subtasks such as text-to-SQL generation and image analysis and to orchestrate modality-specific experts in an efficient query plan. (3) Experimental results on multi-modal datasets, encompassing relational data, text, and images, demonstrate that our system outperforms state-of-the-art multi-modal exploration systems, excelling in both accuracy and various performance metrics, including query latency, API costs, and planning efficiency, thanks to the more effective utilization of the reasoning capabilities of LLMs.