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Electron beams in electron microscopes are efficient probes of optical near-fields, thanks to spectroscopy tools like electron energy-loss spectroscopy and cathodoluminescence spectroscopy. Nowadays, we can acquire multitudes of information about nanophotonic systems by applying space-resolved diffraction and time-resolved spectroscopy techniques. In addition, moving electrons interacting with metallic materials and optical gratings appear as coherent sources of radiation. A swift electron traversing metallic nanostructures induces polarization density waves in the form of electronic collective excitations, i.e., the so-called plasmon polariton. Propagating plasmon polariton waves normally do not contribute to the radiation; nevertheless, they diffract from natural and engineered defects and cause radiation. Additionally, electrons can emit coherent light waves due to transition radiation, diffraction radiation, and Smith-Purcell radiation. Some of the mechanisms of radiation from electron beams have so far been employed for designing tunable radiation sources, particularly in those energy ranges not easily accessible by the state-of-the-art laser technology, such as the THz regime. Here, we review various approaches for the design of coherent electron-driven photon sources. In particular, we introduce the theory and nanofabrication techniques and discuss the possibilities for designing and realizing electron-driven photon sources for on-demand radiation beam shaping in an ultrabroadband spectral range to be able to realize ultrafast few-photon sources. We also discuss our recent attempts for generating structured light from precisely fabricated nanostructures. Our outlook for the realization of a correlative electron-photon microscope/spectroscope, which utilizes the above-mentioned radiation sources, is also described.