Despite the great success of the standard model of particle physics and general relativity, there is compelling evidence for the existence of new physics. Meanwhile, gravitational wave astronomy has rapidly advanced in recent years, providing a wealth of observational data that can be used to expand our search for new physics. The detection of compact binary coalescences by ground-based interferometers provide a unique opportunity to explore physics in the immediate vicinity of black holes. Quantum gravity corrections may be detected through gravitational wave echoes, representing a promising avenue for new physics research. Pulsar timing arrays, acting as galactic-scale interferometers, can detect stochastic gravitational waves as well as wave dark matter. By further incorporating polarization information, the collected data can be used to probe non-gravitational interaction of dark matter to confirm its nature. High-frequency gravitational waves carry a wealth of information on the early Universe. They can be detected through GW-to-photon conversion in laboratory, galactic and cosmic magnetic fields, as well as planet and neutron star magnetospheres. Overall, the intersection of high energy physics and astronomy presents a rapidly growing field with exciting new opportunities, and the use of gravitational wave observations has a vast potential to shed light on the mysteries of the Universe.