Cosmic rays, gamma rays and neutrinos trace extreme astrophysical phenomena across orders of magnitude in energy and distance, yet their interpretation relies on a set of microphysical processes that govern the interactions of these messenger particles both within the astrophysical sources and en route to the Earth. In this thesis we study some of these microphysics processes, spanning in energies from GeV to ZeV and distances from Galactic scales to the high-redshift Universe, with a focus on specific aspects that give rise to observable macrophysical effects and signatures relevant to current and future multi-messenger observations and simulations. At the ultra-high-energy regime, for both cosmological propagation and source environments, two key topics are addressed. First, an often-overlooked process—pair production with capture—is investigated in the context of ultra-high-energy cosmic rays using a semi-analytical estimation method. The results indicate that, although this process does not significantly alter the ionization state of ultra-high-energy nuclei during their propagation over cosmological distances, heavy and ultra-heavy nuclei may not be fully stripped at acceleration sites. This challenges the commonly adopted assumption that ultra-high-energy nuclei are fully ionized both at their sources and during propagation through astrophysical environments. Second, we examine a crucial multi-messenger phenomenon: the development of electromagnetic cascades at these energies. We show that cascades in this regime can serve as a source of high- and ultra-high-energy neutrinos, both inside and outside of astrophysical sources. To support this study, we introduce MUNHECA, a Python3 framework for simulating ultra-high-energy electromagnetic cascades and computing the resulting neutrino spectra. At lower energies, and on Galactic scales, the energy loss processes of cosmic ray protons are carefully re-examined. This study is particularly relevant in the light of recent observational advances (e.g. AMS-02), as experimental uncertainties in this regime have now surpassed the precision of our theoretical models. Using an analytical approach, our study reveals that certain proton energy loss mechanisms, previously considered negligible, such as elastic proton-proton scattering, can no longer be ignored in accurate cosmic ray propagation modeling. In the final part of this thesis, we turn to a distinct and yet related study that also benefits from the multi-messenger approach: the observational prospects of primordial black holes through gamma ray and neutrino telescopes. We discuss the unique advantages of neutrino telescopes in detail. Through a numerical and accurate reassessment of the gamma ray and neutrino spectra from evaporating primordial black holes, we quantify the correlated energy and time profiles of both messengers. These correlations are then utilized to enhance the identification of primordial black holes in case of future detection.