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Quantum optics and ultracold gases are established fields, but they almost do not overlap: the quantum nature of light is typically neglected in works on ultracold atoms. In our work the quantumness of both light and ultracold matter plays a key role. First, we show that light is a quantum nondemolition (QND) probe of many-body phases: they can be distinguished by correlations and full distribution functions (we consider bosons, fermions, and dipolar molecules). Light is not only sensitive to densities, but also to the matter-field interference. Second, we prove that the measurement backaction constitutes a novel source of competitions in many-body systems, especially, for non-QND cases. This leads to a plethora of new phenomena: oscillations of multipartite entangled modes, protection and break-up of fermion pairs, antiferromagnetic orders, long-range pair tunnelling and entanglement beyond Hubbard models. We prove that feedback control induces phase transitions and tunes their universality class. Third, the quantization of trapping potential (quantum optical lattices) leads to novel phases, including both density orders (supersolids, density waves) and bond orders of matter fields (superfluid and supersolid dimers, trimers). Results beyond ultracold atoms include: We extend the paradigm of feedback control from the state control to control of phase transitions. We present the measurement backaction as a novel source of competitions in many-body physics. We merge quantum Zeno dynamics and non-Hermitian physics and show a novel type of Zeno phenomena with Raman transitions beyond Zeno dynamics. We propose quantum simulators based on collective light-matter interaction. Our models can be applied to arrays of other systems (qubits). In general, quantum measurements and feedback produce new phenomena untypical to both closed unitary systems and open dissipative ones in many-body physics.