In these lectures I present a review of non-perturbative instanton effects in quantum theories, with a focus on large N gauge theories and matrix models. I first consider the structure of these effects in the case of ordinary differential equations, which provide a model for more complicated theories, and I introduce in a pedagogical way some technology from resurgent analysis, like trans-series and the resurgent version of the Stokes phenomenon. After reviewing instanton effects in quantum mechanics and quantum field theory, I address general aspects of large N instantons, and then present a detailed review of non-perturbative effects in matrix models. Finally, I consider two applications of these techniques in string theory.