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Cellular-connected UAVs will inevitably be integrated into future cellular networks as new aerial mobile users. Providing cellular connectivity to UAVs will enable a myriad of applications ranging from online video streaming to medical delivery. However, to enable reliable wireless connectivity for the UAVs as well as secure operation, various challenges need to be addressed such as interference management, mobility management and handover, cyber-physical attacks, and authentication. In this article, the goal is to expose the wireless and security challenges that arise in the context of UAV-based delivery systems, UAV-based real-time multimedia streaming, and UAV-enabled intelligent transportation systems. To address such challenges, ANN-based solution schemes are introduced. The introduced approaches enable UAVs to adaptively exploit wireless system resources while guaranteeing secure operation in real time. Preliminary simulation results show the benefits of the introduced solutions for each of the aforementioned cellular-connected UAV application use cases.