Most complex problems of social relevance, such as climate change mitigation, traffic management, taxation policy design, or infrastructure management, involve both multiple stakeholders and multiple potentially conflicting objectives. In a nutshell, the majority of real world problems are multi-agent and multi-objective in nature. Artificial intelligence (AI) is a pivotal tool in designing solutions for such critical domains that come with high impact and ramifications across many dimensions, from societal and economic well-being, to ethical, political, and legal levels. Given the current theoretical and algorithmic developments in AI, it is an opportune moment to take a holistic approach and design decision-support tools that: (i) tackle all the prominent challenges of such problems and consider both the multi-agent and multi-objective aspects; (ii) exhibit vital characteristics, such as explainability and transparency, in order to enhance user agency and alignment. These are the challenges that I will discuss during the Frontiers in AI session at ECAI 2024, together with a brief overview of my work and next steps for this field. This paper summarises my contribution to the session.