Here, we review the most recent achievements in the experimental and theoretical studies of the non-equilibrium electronic, optical, structural and magnetic properties of correlated materials. The focus will be mainly on the prototypical case of correlated oxides that exhibit unconventional superconductivity or other exotic phases. The discussion will extend also to other topical systems, such as iron-based and organic superconductors, MgB2 and chargetransfer insulators. Under the light of this review, the dramatically growing demand for novel experimental tools and theoretical methods, models and concepts, will clearly emerge. In particular, the necessity of extending the actual experimental capabilities and the numerical and analytic tools to microscopically treat the non-equilibrium phenomena beyond the simple phenomenological approaches represents one of the most challenging new frontier in physics.