At the microscopic level, the behaviour of a solid is governed by the intricate interplay between electrons, the lattice, and, in some cases, spin degrees of freedom. From these interactions emerge collective excitations involving charge, lattice, and spin dynamics, known respectively as plasmons, phonons, and magnons. These quasiparticles and their mutual couplings can only be described within a quantum mechanical framework, from which arise a variety of exotic phases of matter. Light-matter interaction offers a means to perturb these phases and drive them out of equilibrium. By analysing the resulting dynamics of the collective modes, we can gain insight into their couplings and energy exchange mechanisms. Since electrons can transfer energy and momentum through inelastic scattering to collective modes, ultrafast electron diffraction (UED) provides a powerful tool to directly observe their out-of-equilibrium. This thesis investigates the ultrafast dynamics of collective excitations in quantum materials using time-resolved electron diffraction. It focuses on a selection of systems that host intriguing phases of matter, aiming to unravel the underlying interactions between their collective modes. In chapter 1, I provide a brief overview of the development of our understanding of physical behaviour in solids, from single-particle descriptions to the emergence of collective modes. I introduce the fundamental principles of light-matter interaction that form the basis for studying the dynamics of collective modes and their couplings in ultrafast science. In chapter 2, I introduce the fundamental principles of electron diffraction, distinguishing elastic and inelastic scattering processes. By combining this technique with a pump-probe scheme, I demonstrate how UED can resolve the dynamics of collective modes in both time and momentum space. I then describe in detail the technical implementation of the UED setup, including a newly developed acquisition method that enhances the signal-to-noise ratio by nearly an order of magnitude. In chapter 3, I investigate the coupling between electrons, plasmons, and phonons in graphite. I use UED to reveal strong electron-phonon interactions involving two distinct lattice vibration modes. Under excitation with two different pump photon energies, graphite exhibits subtle dichotomies in the relaxation pathways of the photoexcited carriers. The resulting modulation of the phonon mode populations directly influences plasmonic dispersion. In chapter 4, I discuss the challenges associated with developing a microscopic description of high-temperature superconductors. Focusing on the prototypical cuprate Bi2Sr2CaCu2O8+x (Bi-2212), I investigate its out-of-equilibrium response under photoexcitation. In particular, I highlight the dynamics of Cooper-pair recombination in the superconducting phase and contrast them with those observed in the normal state. These measurements point toward a possible microscopic scenario underlying Cooper-pair formation in cuprate superconductors. In chapter 5, I introduce a theoretical phase of matter in which excitons constitute the ground state. The search for experimental evidence of this phase motivates the investigation of Ta2NiSe5, a material that undergoes a coupled structural and electronic phase transition. Upon photoexcitation with low and high fluence, two distinct dynamical regimes emerge, suggesting the coexistence of structurally driven and adiabatic phase transition.