We present an overview of recent investigations of photopolymerizable nanocomposite photonic materials in which, thanks to their high degree of material selectivity, recorded volume gratings possess high refractive index modulation amplitude and high mechanical/thermal stability at the same time, providing versatile applications in light and neutron optics. We discuss the mechanism of grating formation in holographically exposed nanocomposite materials, based on a model of the photopolymerization-driven mutual diffusion of monomer and nanoparticles. Experimental inspection of the recorded gratings morphology by various physicochemical and optical methods is described. We then outline the holographic recording properties of volume gratings recorded in photopolymerizable nanocomposite materials consisting of inorganic/organic nanoparticles and monomers having various photopolymerization mechanisms. Finally, we show two examples of our holographic applications, holographic digital data storage and slow-neutron beam control.