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The cosmological constant and its phenomenology remain among the greatest puzzles in theoretical physics. We review how modifications of Einstein's general relativity could alleviate the different problems associated with it that result from the interplay of classical gravity and quantum field theory. We introduce a modern and concise language to describe the problems associated with its phenomenology, and inspect no-go theorems and their loopholes to motivate the approaches discussed here. Constrained gravity approaches exploit minimal departures from general relativity; massive gravity introduces mass to the graviton; Horndeski theories lead to the breaking of translational invariance of the vacuum; and models with extra dimensions change the symmetries of the vacuum. We also review screening mechanisms that have to be present in some of these theories if they aim to recover the success of general relativity on small scales as well. Finally, we summarize the statuses of these models in their attempts to solve the different cosmological constant problems while being able to account for current astrophysical and cosmological observations. [ABSTRACT FROM AUTHOR]