Complex oxides with 4d and 5d transition-metal ions recently emerged as a new paradigm in correlated electron physics, due to the interplay between spin–orbit coupling and electron interactions. For 4d and 5d ions, the spin–orbit coupling, ζ, can be as large as 0.2–0.4 eV, which is comparable with and often exceeds other relevant parameters such as Hund’s coupling JH, noncubic crystal field splitting Δ, and the electron hopping amplitude t. This gives rise to a variety of spin–orbit-entangled degrees of freedom and, crucially, non-trivial interactions between them that depend on the d-electron configuration, the chemical bonding, and the lattice geometry. Exotic electronic phases often emerge, including spin–orbit assisted Mott insulators, quantum spin liquids, excitonic magnetism, multipolar orderings and correlated topological semimetals. This paper provides a selective overview of some of the most interesting spin–orbit-entangled phases that arise in 4d and 5d transition-metal compounds.