As we enter the precision era of multi-messenger astronomy, new windows are opened for us to better understand the Universe, from quantum to cosmic scales. In particular, the study of high-energy astrophysical phenomena has allowed us to probe the most extreme environments known to mankind, as well as obtain unprecedented breakthroughs within the realm of particle physics. This thesis summarizes the important findings of multi-messenger astrophysics over the years, before focusing its attention to three relevant topics currently being investigated in the field. Firstly, we tackle the problem of γ-ray propagation in space. High center-of-momenta interactions during this process leads to the formation of electromagnetic cascades that develop over cosmological distances. We describe a semi-analytical code called “γ-Cascade, which calculates the fluxes at the Earth resulting from such cascades. We also explore the possibility of producing neutrinos in ultra-high-energy cascades. Secondly, we establish a new, original multi-messenger connection between the measured fluxes of TeV–PeV astrophysical neutrinos and ultra-high-energy cosmic rays. This is done by taking advantage of our precise γ-ray observations at sub-TeV energies, demonstrating the power of multi-messenger analyses. Finally, we study the evolution of the flavor composition of supernova neutrinos in a model-independent way. Our novel method allows for predictions of the neutrino flavor content measured at the Earth from supernovae, accounting for matter effects within its dense environment, while remaining completely agnostic about the outcome of self-induced flavor conversions in its core.