Square-well fluid mixtures are studied using the Ornstein-Zernike equation and six closure equations (PY, HNC, MSA, Martynov-Sarkisov, Verlet, and modified Verlet closures). The results for the compressibility factors and internal energies are compared with simulation data of Lee and Chao at 116 state points. At low densities all the theories considered give excellent thermodynamic results. In the high-density region theoretical results for the pressure are rather poor with the exception of the MSA pressures which remain fairly good. Radial distribution functions and thermodynamic properties have been determined by NVT Monte Carlo simulations for several square-well mixtures. Four of these systems were used to test the theoretical results for the structure. Beyond the well region all the closures agree excellently with the data. Within the well, the MSA closure is the best in most cases. Several spurious solutions of the integral equations have been found at low temperatures and intermediate to high densities.