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, fast algorithms will be presented to reduce the high computational cost from the numerical implementation of the nonlocal operators. 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 we will try to provide better perspectives of the origin of nonlocality from multiscale modeling and homogenization, which in turn may help the development of more effective numerical methods for homogenization.