Kaniadakis statistics is a widespread paradigm to describe complex systems in the relativistic realm. Recently, gravitational and cosmological scenarios based on Kaniadakis (κ-deformed) entropy have been considered, leading to generalized models that predict a richer phenomenology comparing to their standard Maxwell–Boltzmann counterparts. The purpose of the present effort is to explore recent advances and future challenges of Gravity and Cosmology in Kaniadakis statistics. More specifically, the first part of the work contains a review of κ-entropy implications on Holographic Dark Energy, Entropic Gravity, Black hole thermodynamics and Loop Quantum Gravity, among others. In the second part, we focus on the study of Big Bang Nucleosynthesis in Kaniadakis Cosmology. By demanding consistency between theoretical predictions of our model and observational measurements of freeze-out temperature fluctuations and primordial abundances of 4He and D, we constrain the free κ-parameter, discussing to what extent the Kaniadakis framework can provide a successful description of the observed Universe.