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Non-classical and entangled light states are of fundamental interest in quantum mechanics and they are a powerful tool for the emergence of new quantum technologies. The development of methods that can lead to the generation of such light states is therefore of high importance. Recently, it has been demonstrated that intense laser-matter interactions can serve towards this direction. Specifically, it has been shown how the use of fully quantized approaches in intense laser-matter interactions and the process of high harmonic generation, can lead to the generation of high photon-number non-classical and entangled states from the far-infrared (IR) to the extreme-ultraviolet (XUV). Here, after a brief introduction on the fundamentals, we summarize the operation principles of these approaches and discuss the recent developments and future directions of non-classical light engineering using strong light fields with the potential application in ultrafast and quantum information science. These findings represent an important step in the development of novel quantum nonlinear spectroscopy methods, based on the interplay between the quantum properties of light and those of quantum matter.