Sub-Gaussian and sub-exponential distributions are introduced and applied to study the fluctuation-response relation out of equilibrium. A bound on the difference in expected values of an arbitrary sub-Gaussian or subexponential physical quantity is established in terms of its sub-Gaussian or sub-exponential norm. Based on that, we find the entropy difference between two states is bounded by the energy fluctuation in these states. Moreover, we obtain generalized versions of the thermodynamic uncertainty relation in different regimes. Some operational issues are also addressed, non-asymptotic bounds on the errors incurred by using the sample mean instead of the expected value in our fluctuation-response inequalities are derived.