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The current standard cosmological model hinges on the presence of dark matter and dark energy to explain a number of astrophysical observations. However, the nature of dark matter and dark energy remains elusive. Furthermore, observations that rely on the late and the early Universe physics have started to show differences, such as the Hubble and the S8 tension. Strong gravitational lensing can constrain the mass distribution in the central regions of galaxies and groups, and help test the nature and distribution of dark matter. Strongly lensed transients, such as supernovae and kilonovae, which accompany gravitational wave sources, are emerging cosmological probes with imaging surveys such as the Rubin LSST and Euclid. I will present our ongoing efforts to discover them and carry out cosmological inference, the importance of multi-messenger lensing and forthcoming challenges.