Exception Handling in Python allows programs to handle and recover from errors and unexpected situations gracefully. A try statement runs a block of code and catches any exceptions in except blocks. Even if a statement is syntactically valid, it may cause an error at runtime. Exceptions can be handled through try-except blocks and the finally block is used for cleanup code. Multiprocessing uses multiple processors to run code concurrently for improved speed while multithreading runs multiple threads within a single process using shared memory for lighter resource usage but potential for race conditions.