While the standard model accurately describes data at the electroweak scale without the inclusion of gravity, beyond the standard model, physics is increasingly intertwined with gravitational phenomena and cosmology. Thus, the gravity-mediated breaking of supersymmetry in supergravity models leads to sparticle masses, which are gravitational in origin, observable at TeV scales and testable at the LHC, and supergravity also provides a candidate for dark matter, a possible framework for inflationary models and for models of dark energy. Further, extended supergravity models and string and D-brane models contain hidden sectors, some of which may be feebly coupled to the visible sector, resulting in heat exchange between the visible and hidden sectors. Because of the couplings between the sectors, both particle physics and cosmology are affected. The above implies that particle physics and cosmology are intrinsically intertwined in the resolution of essentially all of the cosmological phenomena, such as dark matter and dark energy, and in the resolution of cosmological puzzles, such as the Hubble tension and the EDGES anomaly. Here, we give a brief overview of the intertwining and its implications for the discovery of sparticles, as well as the resolution of cosmological anomalies and the identification of dark matter and dark energy as major challenges for the coming decades.