Jets are collimated and fast plasma flows that are observed in several astrophysical environments. In particular, jets from Active Galactic nuclei (AGN) are relativistic in nature and widely believed to be driven by magnetic fields. Recent advances in observation techniques have allowed us to perceive these jets at various scales and have shown that these AGN jets can be a unique platform to study multi-messenger astronomy. In this talk, I will present a review of current progress in understanding various complex interplay characterizing AGN jets at various scales right from launching to its termination stage. I will specifically highlight the approach adopted to comprehend the dynamical and emission properties of AGN jets from the numerical simulation perspective. The focus will be to provide a pathway that connects the microphysical processes like particle acceleration, non-thermal radiation losses with macro-physical processes that involve shocks and instabilities. In this regard, I will present recent results from state-of-the-art numerical simulations of multi-scalar nature of AGN jets and describe their relevance in the current era of multi-messenger astronomy.