Network science has evolved into an indispensable platform for studying complex systems. But recent research has identified limits of classical networks, where links connect pairs of nodes, to comprehensively describe group interactions. Higher-order networks, where a link can connect more than two nodes, have therefore emerged as a new frontier in network science. Since group interactions are common in social, biological and technological systems, higher-order networks have recently led to important new discoveries across many fields of research. Here, we review these works, focusing in particular on the novel aspects of the dynamics that emerges on higher-order networks. We cover a variety of dynamical processes that have thus far been studied, including different synchronization phenomena, contagion processes, the evolution of cooperation and consensus formation. We also outline open challenges and promising directions for future research.