A new era of multi-messenger astronomy unfolds led by cosmic ray experiments, like the Pierre Auger Observatory in Argentina, and high-energy neutrino experiments like the IceCube Observatory in the South Pole. The origin of these extreme messengers is a matter of hot debate. Active galaxies, which host a supermassive black hole that can launch a powerful relativistic jet, are ideal cosmic ray and neutrino factories and recent evidence seems to increasingly support these objects as neutrino emitters. In this talk I summarize our current theoretical understanding of cosmic-ray interactions in active galaxies through numerical modeling. I will show state-of-the-art predictions for the most promising neutrino candidate sources, the possible contribution of active galaxies to the Auger flux, and what signals across the multi-wavelength spectrum to look for when searching for multi-messenger sources.