My research goal is to build large-scale intelligent systems (both single- and multi-agent) that reason with uncertainty in complex, real-world environments. I foresee an integration of such systems in many critical facets of human life ranging from intelligent assistants in hospitals to offices, from rescue agents in large scale disaster response to sensor agents tracking weather phenomena in earth observing sensor webs, and others. In my thesis, I have taken steps towards achieving this goal in the context of systems that operate in partially observable domains that also have transitional (non-deterministic outcomes to actions) uncertainty. Given this uncertainty, Partially Observable Markov Decision Problems (POMDPs) and Distributed POMDPs present themselves as natural choices for modeling these domains. Unfortunately, the significant computational complexity involved in solving POMDPs (PSPACEComplete) and Distributed POMDPs (NEXP-Complete) is a key obstacle. Due to this significant computational complexity, existing approaches that provide exact solutions do not scale, while approximate solutions do not provide any usable guarantees on quality. My thesis addresses these issues using the following key ideas: The first is exploiting structure in the domain. Utilizing the structure present in the dynamics of the domain or the interactions between the agents allows improved efficiency without sacrificing on the quality of the solution. The second is direct approximation in the value space. This allows for calculated approximations at each step of the algorithm, which in turn allows us to provide usable quality guarantees; such quality guarantees may be specified in advance. In contrast, the existing approaches approximate in the belief space leading to an approximation in the value space (indirect approximation in value space), thus making it difficult to compute functional bounds on approximations. In fact, these key ideas allow for the efficient computation of optimal and quality bounded solutions to complex, large-scale problems, that were not in the purview of existing algorithms.