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This book grew out of a course on iterated integrals and cycles on an algebraic manifold the author held in Fall 2001 at the Nankai Mathematical Institute. This book certainly is the first self contained introduction to this subject which is also adapted for non experts and graduate students. The book is divided into three chapters: 1.) Iterated Integrals, Chen's flat connection and \(\pi_1\) 2.) Iterated Integrals on Compact Riemann Surfaces 3.) The generalized Linking Pairing and the Heat Kernel. Let us describe the content of these chapters more detailed: Chapter one starts with first examples of iterated integrals which, loosely spoken, are integrals over simplices. Then it introduces Lie algebras, the universal enveloping algebra and gives Chen's construction for a Lie algebra \(\mathfrak{g}\) and a connection on \(\mathfrak{g}\) associated to a connected manifold \(X\). This construction also is explained in a broader context which goes back to Quillen and Lazard. The next chapter can be seen as an application of this theory to Riemann surfaces and the Jacobian manifold of Riemann surfaces. It culminates in a proof of the fact that for a general Riemann surface the cycle \(X-X^-\) in the Jacobian Jac\((X)\) is homologous to zero but not algebraically equivalent to zero (\(X^-\) denotes the image of the cycle \(X \to \) Jac\((X)\) under the inversion morphism on Jac\((X)\)). To obtain this result, it is shown that the iterated integrals of harmonic one forms on \(X\) give the Abel-Jacobi map. The conclusion is that \(X- X^-\) can algebraically be equivalent to zero only if all these iterated integrals are integers. This allows for the Fermat quartic curve \(X = V(X^4+Y^4-Z^4) \subset {\mathbb P}^2\) with a rough integral estimate to show that \(X-X^-\) is not equivalent to zero. The last chapter generalizes this approach to Kähler manifolds of higher dimension. It introduces a generalized linking number to cycles \(C_1,C_2, \ldots C_k\) satisfying that any \(k-1\) have empty intersection and the codimensions add up to dim\((X)+1\). This linking number can be computed by the heat kernel and by an iterated integral as well. It is shown that the symmetric group on \(k\) letters operates by changing the sign on these linking numbers. Furthermore, the situation for complex analytic cycles \(C_i\) is studied, too. On behalf of the author, let me give two slight corrections in the main theorems of this chapter: In theorem 3.2 on page 85, the words ``i.e. either side of the equation is a function of the homology classes of the \(C^i\)'' should be removed. Similarly, in the statement of theorem 3.3 on page 92, the words ``depends only on the homology classes of the \(C^i\)'' should be replaced by ``is unchanged if any \(C_i\) is replaced by a homologous complex cycle \(C_i'\) satisfying the same intersection conditions.''