We first consider four-dimensional gauge theory on twistor space, taking as a case study maximally supersymmetric Yang-Mills theory. Using a twistor action functional, we show that gauge theory scattering amplitudes are naturally computed on twistor space in a manner that is much more efficient than traditional space-time Lagrangian techniques at tree-level and beyond. In particular, by rigorously studying the Feynman rules of a gauge-fixed version of the twistor action, we arrive at the MHV formalism. This provides evidence for the naturality of computing scattering amplitudes in twistor space as well as an alternative proof of the MHV formalism itself. Next, we study other gauge theory observables in twistor space including gauge invariant local operators and Wilson loops, and discuss how to compute their expectation values with the twistor action. This enables us to provide proofs for the supersymmetric correlation function / Wilson loop correspondence as well as conjectures on mixed Wilson loop - local operator correlators at the level of the loop integrand. Furthermore, the twistorial formulation of such observables is naturally algebro-geometric; this leads to novel recursion relations for computing mixed correlators by performing BCFW-like deformations of the observables in twistor space. Finally, we apply these twistor actions to gravity. Using the on-shell equivalence between Einstein and conformal gravity in de Sitter space, we argue that the twistor action for conformal gravity should encode the tree-level graviton scattering amplitudes of Einstein's theory. We prove this in terms of generating functionals, and derive the flat space MHV amplitude as well as a recursive version of the MHV amplitude with cosmological constant. We also include some discussion of super-connections and Coulomb branch regularization on twistor space.