Cosmic rays with energies up to a few PeV are believed to originate from our own galaxy. However, thir origin has remained a mystery for over a century since the discovery. Recent discoveries in neutrino and gamma-ray astronomy have provided strong evidence for the existence of PeV particle accelerators, or PeVatrons, within the Milky Way galaxy. Among them, the H.E.S.S. observatory discovered a PeVatron within 10 parsecs of the center of our galaxy, suggesting that the supermassive black hole Sgr A may be responsible. Despite being one of the least active supermassive black holes, Sgr A may have acted as a potential particle accelerator during its active stage. In this talk, I will describe our attempts to find observational evidence that Sgr A could serve as a PeVatron, as well as how we can reconstruct Sgr A activity history. In the second half of the talk, I will introduce our ongoing multi-messenger efforts to identify other Galactic PeVatron candidates discovered by the LHAASO observatory and to test whether they bear the nature of supernova remnants, pulsar wind nebula, young stellar clusters or black hole systems.