This review discusses how low-energy, valence excitations created by swift electrons can provide information on the optical response of structured materials with unmatched spatial resolution. Electron microscopes are capable of focusing electron beams on sub-nanometer spots and probing the target response either by analyzing electron energy losses or by detecting emitted radiation. Theoretical frameworks suited to calculate the probability of energy loss and light emission (cathodoluminescence) are revisited and compared with experimental results. The interaction between electrons and the sample is described quantum-mechanically, followed by a classical dielectric approach that can be applied to more complex systems. The conditions under which classical and quantum-mechanical formulations are equivalent are assessed. The excitation of collective modes such as plasmons is studied in bulk materials, planar surfaces, and nanoparticles. Light emission induced by electrons is shown to be an excellent probe of plasmons, combining sub-nanometer resolution in the position of the electron beam with nanometer resolution in the emitted wavelength. Both electron energy-loss and cathodoluminescence spectroscopies performed in a scanning mode yield snapshots of plasmon modes in nanostructures with fine spatial detail, making them an ideal tool for nanophotonics studies.This review discusses how low-energy, valence excitations created by swift electrons can provide information on the optical response of structured materials with unmatched spatial resolution. Electron microscopes are capable of focusing electron beams on sub-nanometer spots and probing the target response either by analyzing electron energy losses or by detecting emitted radiation. Theoretical frameworks suited to calculate the probability of energy loss and light emission (cathodoluminescence) are revisited and compared with experimental results. The interaction between electrons and the sample is described quantum-mechanically, followed by a classical dielectric approach that can be applied to more complex systems. The conditions under which classical and quantum-mechanical formulations are equivalent are assessed. The excitation of collective modes such as plasmons is studied in bulk materials, planar surfaces, and nanoparticles. Light emission induced by electrons is shown to be an excellent probe of plasmons, combining sub-nanometer resolution in the position of the electron beam with nanometer resolution in the emitted wavelength. Both electron energy-loss and cathodoluminescence spectroscopies performed in a scanning mode yield snapshots of plasmon modes in nanostructures with fine spatial detail, making them an ideal tool for nanophotonics studies.