We will discuss a general theory of intertwined diffusion processes of any dimension. Intertwined processes arise in many different contexts in probability theory, most notably in the study of random matrices, random polymers and path decompositions of Brownian motion. Recently, they turned out to be also closely related to wave equations and more general hyperbolic partial differential equations. The talk will be devoted to this recent development, as well as an algebraic perspective on intertwinings which, in particular, gives rise to a novel intertwining in beta random matrix theory. The talk is based on joint works with Vadim Gorin and Soumik Pal.