The possibility has recently been reported of using spatially resolved electron energy loss spectroscopy and cathodoluminescence in scanning (transmission) electron microscopes to probe optical excitations—plasmons, photons, excitons—at a scale that could not have been considered only a few years ago. This allows these excitations to be studied at the relevant scale for the characterization of novel materials with potential applications in nanophotonics and nanoplasmonics. This review aims at describing the state-of-the art experimental and theoretical techniques of this emerging field and its major uses and applications.