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We review recent progress in the construction of modified gravity models as alternatives to dark energy as well as the development of cosmological tests of gravity. Einstein's theory of General Relativity (GR) has been tested accurately within the local universe i.e. the Solar System, but this leaves the possibility open that it is not a good description of gravity at the largest scales in the Universe. This being said, the standard model of cosmology assumes GR on all scales. In 1998, astronomers made the surprising discovery that the expansion of the Universe is accelerating, not slowing down. This late-time acceleration of the Universe has become the most challenging problem in theoretical physics. Within the framework of GR, the acceleration would originate from an unknown dark energy. Alternatively, it could be that there is no dark energy and GR itself is in error on cosmological scales. In this review, we first give an overview of recent developments in modified gravity theories including $f(R)$ gravity, braneworld gravity, Horndeski theory and massive/bigravity theory. We then focus on common properties these models share, such as screening mechanisms they use to evade the stringent Solar System tests. Once armed with a theoretical knowledge of modified gravity models, we move on to discuss how we can test modifications of gravity on cosmological scales. We present tests of gravity using linear cosmological perturbations and review the latest constraints on deviations from the standard $\Lambda$CDM model. Since screening mechanisms leave distinct signatures in the non-linear structure formation, we also review novel astrophysical tests of gravity using clusters, dwarf galaxies and stars.