Assuming basic knowledge of special and general relativity, this book guides the reader to problems under consideration in modern research, concerning black holes, wormholes, cosmology, and extra dimensions. Its first part is devoted to local strong field configurations (black holes and wormholes) in general relativity and its most relevant extensions: scalar-tensor, f(R), and multidimensional theories. The second part discusses cosmology, including inflation and problems of a unified description of the whole evolution of the universe. The third part concerns multidimensional theories of gravity and contains a number of original results obtained by the authors. Expository work is conducted for a mechanism of symmetries and fundamental constants formation. The original approach to nonlinear multidimensional gravity that is able to construct a unique perspective describing different phenomena is highlighted. Much of the content was previously presented only in journal publications and is new for book contents, e.g., on regular black holes, various scalar field solutions, wormholes and their stability, inflation, clusters of primordial black holes, and multidimensional gravity. The last two topics are added in this new edition of the book. The other chapters are also updated to include new discoveries like the detection of gravitational waves.