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In this paper, we introduce a new class of linear codes over finite fields, viz. skew multi-twisted codes (or skew generalized quasi-twisted codes), which is a generalization of some well-known classes of linear codes such as cyclic codes and quasi-cyclic codes. We also study algebraic structures of skew multi-twisted codes and their Galois duals (i.e., orthogonal complements with respect to the Galois inner product). We also view skew multi-twisted codes as direct sums of certain concatenated codes, which gives rise to a method to construct these codes. We also determine a lower bound on their minimum Hamming distances using their multilevel concatenated structure. Apart from this, we determine the parity-check polynomial of each skew multi-twisted code, and obtain BCH type bounds on their minimum Hamming distances. We also determine generating sets of Galois duals of some skew multi-twisted codes from generating sets of these codes. We also derive necessary and sufficient conditions under which a skew multi-twisted code is (i) Galois self-dual, (ii) Galois self-orthogonal and (iii) Galois LCD (linear with complementary dual). As an application of this result, we also provide enumeration formulae for all Hermitian self-dual, Hermitian self-orthogonal, Hermitian LCD and Euclidean LCD multi-twisted codes over finite fields. We also obtain many linear codes with best known and optimal parameters from 1-generator skew multi-twisted codes over finite fields F 8 and F 9. [ABSTRACT FROM AUTHOR]