Horizon-scale images of black holes (BHs) and their shadows have opened an unprecedented window onto tests of gravity and fundamental physics in the strong-field regime, allowing us to test whether the Kerr metric provides a good description of the space-time in the vicinity of the event horizons of supermassive BHs. We consider a wide range of well-motivated deviations from classical General Relativity solutions, and constrain them using the Event Horizon Telescope (EHT) observations of Sagittarius A * (SgrA * ), connecting the size of the bright ring of emission to that of the underlying BH shadow and exploiting high-precision measurements of SgrA * 's mass-to-distance ratio. The scenarios we consider, and whose fundamental parameters we constrain, include various regular BH models, string-and non-linear electrodynamics-inspired space-times, scalar field-driven violations of the no-hair theorem, alternative theories of gravity, new ingredients such as the generalized uncertainty principle and Barrow entropy, and BH mimickers including examples of wormholes and naked singularities. We demonstrate that SgrA * 's image places particularly stringent constraints on models predicting a shadow size which is larger than that of a Schwarzschild BH of a given mass: for instance, in the case of Barrow entropy we derive constraints which are significantly tighter than the cosmological ones. Our results are among the first tests of fundamental physics from the shadow of SgrA * and, while the latter appears to be in excellent agreement with the predictions of General Relativity, we have shown that various well-motivated alternative scenarios (including BH mimickers) are far from being ruled out at present.