Nonlocal gravity is an elegant proposal for resolving the unitary of higher derivative gravity as the modification of Einstein's General Relativity (GR) in the ultraviolet (UV) regime. In this thesis, we study some applications of nonlocal gravity in astrophysics and cosmology, specifically including ultracompact objects (UCOs) and bouncing universe.UCO model is mainly proposed for resolving black hole (BH) singularity and information-loss paradox due to Hawking radiation associated with horizon. The UCOs are horizonless and own reflectivity of particles or waves compared with BHs which are purely absorptive. Therefore new phenomena would arise due to reflectivity. In this thesis, we study the observational signatures of UCOs in both optical aspects such as shadows and photon rings, and acoustic properties such as ringdown signal and QNMs. First, we analyze the optical appearance of an asymmetric thin-shell wormhole (ATW) illuminated by a thin accretion disk. We show additional photon rings and a potential lensing band from the ATW spacetime with respect to the black hole case. Although we take the ATW as a toy model, our analysis may provide an optically observational signature to distinguish UCOs from black holes. Then we towards to study the gravitational wave (GW) echoes when experiencing nonlocal effect by generalizing the gravitational perturbation equation to a nonlocal version of Schrodinger-like equation. We find that nonlocality amplifies echoes due to the less damping of transmission of waves. Our analysis will provide smoking-gun signatures on how the nonlocality affects the GW echoes.Bouncing universe is coming up for resolving cosmological singularity. In the context of GR, inevitable exotic matter is required to drive a bouncing scenario, which typically results in ghost or gradient instability. Bouncing universe can also be obtained in higher derivative gravity, which is also plagued by ghost instability in the gravitational sector. In this thesis, we obtain homogeneous and isotropic non-singular bouncing universes without adding matter in nonlocal gravity. We show that at the linearized level around the bounce, it is possible to constrain the nonlocal form factor such that there is only a scalar propagating degree of freedom. The scalar mode can be made free from perturbative ghost instabilities, and has oscillatory and bounded evolution across the bounce. We also show that it is possible to realize an anisotropic bouncing solution driven by the proper matters along with a cosmological constant. We show that the anisotropy grows slower than in GR during the contraction phase, and is bounded across the bounce. And it is possible to simultaneously satisfy positivity of energy density and, at least in the late time de Sitter phase, avoid the introduction of propagating ghost/tachyonic modes with respect to local theory.