Nonlocal models are experiencing a firm upswing recently as more realistic alternatives to the conventional local models for studying various phenomena from physics and biology to materials and social sciences. In this talk, I will describe our recent effort in taming the computational challenges for nonlocal models. I will first highlight a family of numerical schemes - the asymptotically compatible schemes - for nonlocal models that are robust with the modeling parameter approaching an asymptotic limit. Second, I will discuss nonlocal-to-local coupling techniques so as to improve the computational efficiency of using nonlocal models. This also motivates the development of new mathematical results - for instance, a new trace theorem that extends the classical results. Although new nonlocal models have been gaining popularity in various applications, they often appear as phenomenological models, such as the peridynamics model in fracture mechanics. Here I will illustrate how to characterize the origin of nonlocality through homogenization of wave propagation in periodic media.