Data from the recent measurements of very forward baryon and photon production with the H1 and ZEUS detectors at electron-proton collider HERA are presented and compared to the theoretical calculations and Monte Carlo models.Results are presented of the production of leading protons, neutrons and photons in deep inelastic scattering ( e p → e ' p X , e p → e ' n X , e p → e ' γ X ) as well as the leading neutron production in the photoproduction of dijets ( e p → e j j X n ). The forward baryon and photon results from the H1 and ZEUS Experiments are compared also with the models of the hadronic interactions of high energy Cosmic Rays. The sensitivity of the HERA data to the differences between the models is demonstrated.