In a data warehousing process, the phase of data integration is crucial. Many methods for data integration have been published in the literature. However, with the development of the Internet, the availability of various types of data (images, texts, sounds, videos, databases...) has increased, and structuring such data is a difficult task. We name these data, which may be structured or unstructured, "complex data". In this paper, we propose a new approach for complex data integration, based on a Multi-Agent System (MAS), in association to a data warehousing approach. Our objective is to take advantage of the MAS to perform the integration phase for complex data. We indeed consider the different tasks of the data integration process as services offered by agents. To validate this approach, we have actually developed an MAS for complex data integration.