Nonlocal phenomena are ubiquitous in nature. The nonlocal models investigated in this thesis use integration in replace of differentiation and provide alternatives to the classical partial differential equations. The nonlocal interaction kernels in the models are assumed to be as general as possible and usually involve finite range of nonlocal interactions. Such settings on one hand allow us to connect nonlocal models with the existing classical models through various asymptotic limits of the modeling parameter, and on the other hand enjoy practical significance especially for multiscale modeling and simulations. To make connections with classical models at the discrete level, the central theme of the numerical analysis for nonlocal models in this thesis concerns with numerical schemes that are robust under the changes of modeling parameters, with mathematical analysis provided as theoretical foundations. Together with extensive discussions of linear nonlocal diffusion and nonlocal mechanics models, we also touch upon other topics such as high order nonlocal models, nonlinear nonlocal fracture models and coupling of models characterized by different scales.