Continuous, adaptive learning, the ability to adapt to the environment and keep improving performance, is a hallmark of natural intelligence. Biological organisms excel in acquiring, transferring, and retaining knowledge while adapting to volatile environments, making them a source of inspiration for artificial neural networks (ANNs). This study explores how neuromodulation, a building block of learning in biological systems, can help address catastrophic forgetting and enhance the robustness of ANNs in continual learning. Driven by neuromodulators including dopamine (DA), acetylcholine (ACh), serotonin (5-HT) and noradrenaline (NA), neuromodulatory processes in the brain operate at multiple scales, facilitating dynamic responses to environmental changes through mechanisms ranging from local synaptic plasticity to global network-wide adaptability. Importantly, the relationship between neuromodulators and their interplay in modulating sensory and cognitive processes is more complex than previously expected, demonstrating a "many-to-one" neuromodulator-to-task mapping. To inspire neuromodulation-aware learning rules, we highlight (i) how multi-neuromodulatory interactions enrich single-neuromodulator-driven learning, (ii) the impact of neuromodulators across multiple spatio-temporal scales, and correspondingly, (iii) strategies for approximating and integrating neuromodulated learning processes in ANNs. To illustrate these principles, we present a conceptual study to showcase how neuromodulation-inspired mechanisms, such as DA-driven reward processing and NA-based cognitive flexibility, can enhance ANN performance in a Go/No-Go task. Though multi-scale neuromodulation, we aim to bridge the gap between biological and artificial learning, paving the way for ANNs with greater flexibility, robustness, and adaptability.