The discovery of a population of luminous quasars at high redshift z ~ 6 indicates the existence of supermassive black holes of billions of solar masses within the first billion years after the Big Bang. The origin and nature of these supermassive black holes, however, remain an unsolved puzzle. I will present new results of the growth of the first massive black holes and their properties in a full electromagnetic – gravitational wave spectrum, by combining multi-scale cosmological simulations, multi-wavelength radiative transfer, and multi-phase gravitational waveform calculations. We find that efficient angular momentum transport by gravitational torques is critical to black hole accretion and star formation in the host galaxies, and that the final black hole mass depends strongly on the seed mass and radiative efficiency. Interestingly, super-critical accretion failed to produce billion-solar-masses black holes by z ~ 6 from small seeds of 10 – 100 solar masses, contrast to suggestions in the literature. Furthermore, we find that future telescopes in electromagnetic-spectrum such as JWST may only detect massive galaxies up to z~15, but space- and ground-based gravitational waves detectors such as LISA and the Big Bang Observatory can detect signals from mergers of black holes down to 10 Msun beyond z~20, offering a powerful tool to study structure formation at the end of the cosmic dark ages.