During the last few decades, we've begun to glimpse the universe not just with photons, but also with other messengers like cosmic rays, neutrinos, and even gravitational waves. I will show why photons, cosmic rays, and neutrinos are fundamentally interconnected—as dark matter may also be—and why very-high-energy gamma rays are a key domain in multi-messenger astronomy. I'll emphasize the role of a few key experiments in the Canary Islands in this field, and discuss some of the latest results that are opening new scientific prospects for the upcoming generation of detectors.