The integration of ultrafast laser systems with transmission electron microscopes led to the extension of conventional electron microscopy (PINEM) to the 4th dimension, time, and new techniques as photon-induced near-field electron microscopy became available. This novel class of instruments offers to the experimenter the possibility to apply in one single instrument different and complementary ultrafast techniques as imaging, electron diffraction and energy-loss spectroscopy, allowing the investigation of the properties of matter with renovated efficiency obtaining time-resolved informations of both structural and electronic structures. In this thesis we report the design and implementation of the world-first ultrafast electron microscope based on a thermionic gun and we characterize the performances of the machine. Strongly correlated electron materials are an optimal playground for this instrument, the challenge being the ability to decouple the several degrees of freedom characterized by similar energy scale. We applied ultrafast diffraction and electron energy loss spectroscopy to the study of the metallic phase of a layered manganite, and we study the electronic and lattice response to a femtosecond photoexcitation. Taking advantage of the capabilities of PINEM to visualize electromagnetic fields at the ultrafast timescale we report the first simultaneous observation of the particle-like and wave-like behavior of a plasmon-polariton confined on the surface of a silver nanowire. Finally we present a discussion about the possible evolution of ultrafast electron microscopy, analyzing the feasibility of the integration of an ultrafast-transmission electron microscope with a free electron laser for performing high-energy excitations in solids.