The halo of our Galaxy is believed to be mainly formed by the materials accreted/merged in the past, and so has "extragalactic" origin. Such formation process will leave dynamical traces imprinted in the halo, like stellar substructures, distinguishable from the in-situ halo component. Studying the present-day structure and substructures of the Milky Way halo is one of the most direct ways of understanding the formation and the evolutionary history of the Galaxy, as well as investigating the $\Lambda$CDM model on the galaxy scale which has not yet been tested thoroughly. It has been a challenge to obtain a sufficiently large sample of halo stars for such study due to the sparse density of the halo. The recent Gaia mission can open a new era for the study of Galactic Archaeology as it provides quality data for ~ 1.3 billion stars across the Milky Way which had remained uncharted so far. In Chapter 1, I describe a history of study on the Milky Way halo so far, and present algorithms that are developed to investigate the substructures of the halo with various aspects. Chapter 2 is a morphological study of the Milky Way halo based on the chemo-dynamical information. It reveals various interesting aspects of the halo and its origin, such as the chemo-dynamical duality (evidence of a past major merger -- the "Gaia Sausage"), traces of a past retrograde accretion (clues as to the origin of the retrograde halo component), and the resonant feature (evidence of dynamical influence of the Milky Way bar). Chapter 3, 4 and 5 are examples of a more focused study on the halo substructures with various new methods that differ from the conventional studies. In addition to the discovery of new stellar streams, I investigate the properties of the potential progenitors (past accreted dwarf galaxies) of these substructures, and also the potential association with $\omega$ Centauri. Chapter 6 is a study investigating the potential extragalactic origin of the Milky Way globular clusters based on their dynamics and various other information such as age, metallicity, horizontal branch index. It reveals a collection of globular clusters with extragalactic origin, originating from the "Gaia Sausage". Chapter 7 is a chemo-dynamical study showing the evidence for another early accretion event -- the "Sequoia". From multiple tracers in the Milky Way halo, including the stellar streams and globular clusters, I investigate the dynamical and the chemical signature of the "Sequoia" progenitor and its present-day remnants.