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We study the effect of super-sample covariance (SSC) on the power spectrum and higher-order statistics: bispectrum, halo mass function, and void size function. We also investigate the effect of SSC on the cross covariance between the statistics. We consider both the matter and halo fields. Higher-order statistics of the large-scale structure contain additional cosmological information beyond the power spectrum and are a powerful tool to constrain cosmology. They are a promising probe for ongoing and upcoming high precision cosmological surveys such as DESI, PFS, Rubin Observatory LSST, Euclid, SPHEREx, SKA, and Roman Space Telescope. Cosmological simulations used in modeling and validating these statistics often have sizes that are much smaller than the observed Universe. Density fluctuations on scales larger than the simulation box, known as super-sample modes, are not captured by the simulations and in turn can lead to inaccuracies in the covariance matrix. We compare the covariance measured using simulation boxes containing super-sample modes to those without. We also compare with the Separate Universe approach. We find that while the power spectrum, bispectrum and halo mass function show significant scale- or mass-dependent SSC, the void size function shows relatively small SSC. We also find significant SSC contributions to the cross covariances between the different statistics, implying that future joint-analyses will need to carefully take into consideration the effect of SSC. To enable further study of SSC, our simulations have been made publicly available at https://github.com/HalfDomeSims/ssc.