Because of their small angular size < 1 mas, spatial information on High-mass X-ray binaries (HMXB) has typically been inferred from photometry or spectroscopy. Optical interferometry offers the possibility to spatially resolve such systems, but has been traditionally limited to bright targets or low spectral resolution. The VLTI instrument GRAVITY, working in the near-infrared K band, achieves unprecedented precision in differential interferometric quantities at high spectral resolution, allowing to study HMXBs through the lens of optical interferometry for the first time. We present GRAVITY observations on two X-ray binaries: the microquasar SS 433 and the supergiant HMXB BP Cru. The former is the only known steady super-Eddington accretor in the Galaxy and is in a unique stage of binary evolution, with probable ties to at least part of the ULX population. With GRAVITY, we resolve its massive winds and optical baryonic jets for the first time, finding evidence for powerful equatorial outflows and photoionization as the main heating process along the jets. BP Cru harbors an X-ray pulsar accreting from the wind of its early-blue hypergiant companion Wray 977. The GRAVITY observations resolve the inner parts of the stellar wind and allow probing the influence of the orbiting pulsar on the circumstellar environment.