Gamma-Ray Bursts (GRBs) are the most powerful cosmic explosions since the Big Bang, and thus act as signposts throughout the distant Universe. Over the last 2 decades, these ultra-luminous cosmological explosions have been transformed from a mere curiosity to essential tools for the study of high-redshift stars and galaxies, early structure formation and the evolution of chemical elements. In the future, GRBs will likely provide a powerful probe of the epoch of reionisation of the Universe, constrain the properties of the first generation of stars, and play an important role in the revolution of multi-messenger astronomy by associating neutrinos or gravitational wave (GW) signals with GRBs. Here, we describe the next steps needed to advance the GRB field, as well as the potential of GRBs for studying the Early Universe and their role in the up-coming multi-messenger revolution.