Eukaryotic gene regulation is a combinatorial, dynamic, and quantitative process that plays a vital role in development and disease and can be modeled at a systems level in gene regulatory networks (GRNs). The wealth of multi-omics data measured on the same samples and even on the same cells has lifted the field of GRN inference to the next stage. Combinations of (single-cell) transcriptomics and chromatin accessibility allow the prediction of fine-grained regulatory programs that go beyond mere correlation of transcription factor and target gene expression, with enhancer GRNs (eGRNs) modeling molecular interactions between transcription factors, regulatory elements, and target genes. In this review, we highlight the key components for successful (e)GRN inference from (sc)RNA-seq and (sc)ATAC-seq data exemplified by state-of-the-art methods as well as open challenges and future developments. Moreover, we address preprocessing strategies, metacell generation and computational omics pairing, transcription factor binding site detection, and linear and three-dimensional approaches to identify chromatin interactions as well as dynamic and causal eGRN inference. We believe that the integration of transcriptomics together with epigenomics data at a single-cell level is the new standard for mechanistic network inference, and that it can be further advanced with integrating additional omics layers and spatiotemporal data, as well as with shifting the focus towards more quantitative and causal modeling strategies.