A computational approach is essential whenever the complexity of the process under study is such that direct theoretical or experimental approaches are not viable. This is the case for protein folding, for which a significant amount of data are being collected. This paper reports on the essential role of in silico methods and the unprecedented interplay of computational and theoretical approaches, which is a defining point of the interdisciplinary investigations of the protein folding process. Besides giving an overview of the available computational methods and tools, we argue that computation plays not merely an ancillary role but has a more constructive function in that computational work may precede theory and experiments. More precisely, computation can provide the primary conceptual clues to inspire subsequent theoretical and experimental work even in a case where no preexisting evidence or theoretical frameworks are available. This is cogently manifested in the application of machine learning methods to come to grips with the folding dynamics. These close relationships suggested complementing the review of computational methods within the appropriate theoretical context to provide a self-contained outlook of the basic concepts that have converged into a unified description of folding and have grown in a synergic relationship with their computational counterpart. Finally, the advantages and limitations of current computational methodologies are discussed to show how the smart analysis of large amounts of data and the development of more effective algorithms can improve our understanding of protein folding.