Gamma-Ray Bursts (GRBs) are intense, short-lived bursts of low-energy gamma rays that have captivated astronomers and astrophysicists since their discovery in the late 1960s. Over the past decade, space missions such as BATSE, BeppoSAX, and HETE II, along with ground-based optical, infrared, and radio observatories, have revolutionized our understanding of GRBs. These observations have shown that GRBs are cosmological events, accompanied by long-lasting afterglows, and associated with core-collapse supernovae. The theoretical understanding has evolved into the fireball internal-external shocks model, which posits that GRBs are produced when the kinetic energy of an ultra-relativistic flow is dissipated through internal collisions, and the afterglow results from the flow being slowed down by shocks with the surrounding circum-burst matter. This model has made numerous successful predictions, including the afterglow itself, jet breaks in the afterglow light curve, and an optical flash accompanying the GRBs. The review focuses on the theoretical aspects and physical processes believed to occur in GRBs. It begins with a discussion of observations, including the prompt emission, afterglow properties, host galaxies, and energetics. The global picture of GRB models, relativistic effects, and physical processes such as relativistic shocks, particle acceleration, synchrotron emission, inverse Compton scattering, and polarization from relativistically moving sources are covered. The prompt emission and the GRB are discussed in detail, including the transition from internal to external shocks, hydrodynamics, and light curves. The afterglow is modeled using relativistic blast waves and various generalizations, including winds, energy injection, and inhomogeneous density profiles. The review also examines other related phenomena, such as TeV gamma-ray emission, high-energy neutrinos, ultra-high-energy cosmic rays, and gravitational radiation. Finally, the inner engines powering GRBs, including black hole accretion, pulsar models, rotating black holes, collapsars, and supernovae, are explored. The review concludes with a discussion of open questions and future prospects.Gamma-Ray Bursts (GRBs) are intense, short-lived bursts of low-energy gamma rays that have captivated astronomers and astrophysicists since their discovery in the late 1960s. Over the past decade, space missions such as BATSE, BeppoSAX, and HETE II, along with ground-based optical, infrared, and radio observatories, have revolutionized our understanding of GRBs. These observations have shown that GRBs are cosmological events, accompanied by long-lasting afterglows, and associated with core-collapse supernovae. The theoretical understanding has evolved into the fireball internal-external shocks model, which posits that GRBs are produced when the kinetic energy of an ultra-relativistic flow is dissipated through internal collisions, and the afterglow results from the flow being slowed down by shocks with the surrounding circum-burst matter. This model has made numerous successful predictions, including the afterglow itself, jet breaks in the afterglow light curve, and an optical flash accompanying the GRBs. The review focuses on the theoretical aspects and physical processes believed to occur in GRBs. It begins with a discussion of observations, including the prompt emission, afterglow properties, host galaxies, and energetics. The global picture of GRB models, relativistic effects, and physical processes such as relativistic shocks, particle acceleration, synchrotron emission, inverse Compton scattering, and polarization from relativistically moving sources are covered. The prompt emission and the GRB are discussed in detail, including the transition from internal to external shocks, hydrodynamics, and light curves. The afterglow is modeled using relativistic blast waves and various generalizations, including winds, energy injection, and inhomogeneous density profiles. The review also examines other related phenomena, such as TeV gamma-ray emission, high-energy neutrinos, ultra-high-energy cosmic rays, and gravitational radiation. Finally, the inner engines powering GRBs, including black hole accretion, pulsar models, rotating black holes, collapsars, and supernovae, are explored. The review concludes with a discussion of open questions and future prospects.