Active Galactic Nuclei and Gamma Ray bursts are relativistic, extragalactic sources which are believed to be the main candidates of the high-energy cosmic-rays production and high energy radiation. Relativistic shocks, either single or multiple, have been inferred by observations or have been theorized, to be forming within a high-speed plasma jet. The acceleration of protons but also nuclei, via the Fermi acceleration mechanism in these shocks is believed to be responsible for the observed ultra-high energy cosmic rays as well as for the high energy gamma-rays and neutrinos. In this talk I will focus on the relativistic cosmic-ray shock acceleration mechanism, and will review test-particle simulation studies for single and multiple shocks occurring in extragalactic jets. Then, the secondary particle production and extragalactic propagation of the accelerated high-energy cosmic-rays will be briefly discussed, giving insights into understanding their relevance to a multi-messenger physics approach.