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Cellular-connected unmanned aerial vehicles (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 a reliable wireless connectivity for the UAVs as well as a secure operation, various challenges need to be addressed such as interference management, mobility management and handover, cyber-physical attacks, and authentication. In this paper, 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, artificial neural network (ANN) based solution schemes are introduced. The introduced approaches enable the UAVs to adaptively exploit the wireless system resources while guaranteeing a 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 case.