In this article, the authors introduce the Newton-Morrey-Sobolev space on a metric measure space (𝒳, d, μ). The embedding of the Newton-Morrey-Sobolev space into the Hölder space is obtained if 𝒳 supports a weak Poincaré inequality and the measure μ is doubling and satisfies a lower bounded condition. Moreover, in the Ahlfors Q-regular case, a Rellich-Kondrachov type embedding theorem is also obtained. Using the Hajłasz gradient, the authors also introduce the Hajłasz-Morrey-Sobolev spaces, and prove that the Newton-Morrey-Sobolev space coincides with the Hajłasz-Morrey-Sobolev space when μ is doubling and 𝒳 supports a weak Poincaré inequality. In particular, on the Euclidean space \documentclass[12pt]{minimal}
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\begin{document}${\mathbb R}^n$\end{document}, the authors obtain the coincidence among the Newton-Morrey-Sobolev space, the Hajłasz-Morrey-Sobolev space and the classical Morrey-Sobolev space. Finally, when (𝒳, d) is geometrically doubling and μ a non-negative Radon measure, the boundedness of some modified (fractional) maximal operators on modified Morrey spaces is presented; as an application, when μ is doubling and satisfies some measure decay property, the authors further obtain the boundedness of some (fractional) maximal operators on Morrey spaces, Newton-Morrey-Sobolev spaces and Hajłasz-Morrey-Sobolev spaces.