In this paper, we study homological dimensions of algebras linked by recollements of derived module categories, and establish a series of new upper bounds and relationships among their finitistic or global dimensions. This is closely related to a longstanding conjecture, the finitistic dimension conjecture, in representation theory and homological algebra. Further, we apply our results to a series of situations of particular interest: exact contexts, ring extensions, trivial extensions, pullbacks of rings, and algebras induced from Auslander-Reiten sequences. In particular, we not only extend and amplify Happel's reduction techniques for finitistic dimenson conjecture to more general contexts, but also generalise some recent results in the literature.