In cold atom, the coupling between "spin" (atomic internal hyperfine states) and "orbit" (atomic center-of-mass motion) can be induced by Raman transition, where different hyperfine states are coupled by a pair of Raman lasers. In recent years, this synthetic spin-orbit coupling has received tremendous attention, as it leads to a variety of novel quantum phenomena in precisely controllable cold atom systems. In this thesis, we first present a comprehensive analysis of one-, two- and many- particle physics of harmonically trapped atoms with spin-orbit coupling, followed by the study of "novel spin-orbit coupling" in two different systems: (1) cold atom spinor mixtures and (2) cold atoms in an optical cavity. In the first system, we consider a spinor mixture consisting of two species of cold atoms, where the spin-orbit coupling can be transmitted from one species to the other, and we discuss novel topological properties and the supersolid stripe phase in this mixture. In the second system, we consider the coupling among three parts: the cavity photon field, the atomic internal hyperfine states, and the atomic external center-of-mass motion, and we discuss how this coupling affects familiar quantum optical phenomena, such as Rabi oscillation and Dicke superradiance phase transition. Our novel systems contribute new and practical platforms for the research field of synthetic spin-orbit coupling in cold atoms.