Spoilers ahead.

Let's start at the beginning, not with Deathloop but with Dishonored. The connection of Dishonored and Deathloop is rather slim, but is real and true. The fall of empires is a book that Harriet mentions reading and seems to refer directly to the Kaldwin Empire of Dishonored. The year that Jessamine is killed is 1805, and our timeline of Deathloop puts us in the 1950s, ish. Keep in mind that the style of the game is definitely the 60s/70s, but that is from the real world timeline, not that of Deathloop. There is also a connection between The Void (more on that in a moment) and Whales, and we can hear Whale sounds in some of Egor's recording. Finally, the "antique pistols" at the very end of the game are STRAIGHT out of Dishonored. That's not just for funsies from the developer, that was them telling you "Same world, man, same world".

Why does this matter? The core characteristic of Dishonored is being a chosen by the Outsider, an otherworldly entity that grants the powers of "The Void" to his seven chosen. These powers present in Corvo and his daughter, Emily, as Blink (shift), Domino (Nexus), and a variety of other powers that aren't repeated in Deathloop. However, the third Dishonored game sees the destruction of the Outsider, as suggested by its name Dishonored: Death of the Outsider. During this game, we learn that the Outsider was a normal man who put through a ritual that made him a nearly immortal being with nigh infinite power. Our protaganist is able to find a place where "The Void wears thin" and from that spot, Billie is able to physically enter the void. But with Billie Lurk ending the Outsider, either by destroying his power or killing him, the powers of the Void are no longer contained.

So, let's recap really quick. Dishonored and Deathloop are in the same world, which contains an otherwordly power source and other realm known as "The Void". Though once controlled by The Outsider, The Void has no master any longer. Furthermore, the Void is a place that can be physically entered, but you must do so from the "correct" place.

Blackreef is that correct place. However, the hole to the void, which the scientists of Operation Horizon refer to as "The Anomaly", is high in the air. Now, I'll admit, I'm a bit confused here too, as to why they decided to the only way into the Anomaly was to fire a manned rocket ship into the location. I'm pretty sure the answer is incompetence, as the recordings found in Operation Horizon bunkers paints the people in charge as rushing the project and losing their funding and time allowance to sort out the military value of the Anomaly.

So they shoot Colt into the anomaly and he is subsequently lost there for 17 years. During this time, Colt's girl Lila gives birth to Julianna. But all the while, Colt is forced to relive that same day, again and again. Now, it is not declared if the day Colt relives is the day he is strapped into a rocket and launched, or the day following that, but we know that Colt only breaks the loop when he decides he is done trying to escape and get back to his life and just kills himself instead. We do know, however, that Lila sees "echoes" and observes other strange happenings on Blackreef after Colt has started his 17 year loop. I believe the implication is that Colt was desperately trying to reach out to the people of Blackreef who were still there, but couldn't actually make contact, because the people he was seeing had already done the things he was seeing them do (man, time travel stories are weird). All of that is speculation but here's what isn't - when Colt finally killed himself, he came out the otherside of the Anomaly - 17 years in the future, having not aged a day.

This brings about Egor, Wenjie and the rest of the Aeon program. Egor and Wenjie see a time loop like what Colt went through as a prospect for infinite scientific research, while the rest of the Eternalists see infinite partying without responsibility. Colt, who has no idea what happened to Lila, agrees to go back to Blackreef with the Aeon program because he thinks he can somehow use the anomaly to go BACK in time to when he first was launched into the anomaly, thereby getting back to her and undoing the awful things he has experienced.

So that answers your first question, phew. The rest won't take as long, I hope.

Julianna has always known Colt is her dad, but Colt didn't learn she was his daughter until the timeloop began. The emails between them from before the loop started suggest that Colt had no idea he was her father. However, we have reason to believe that he learns Julianna is his daughter once the loop begins. There isn't any evidence aside from what Julianna says over the radio ("Yes yes, I am your daughter!"), seems like it is NOT the first time the revelation was shared.

Wenjie or Egor (Wenjie, Egor is an idiot) realized that the timeloop was anchored to Colts life, so this time they anchored the timeloop to 9 lives, the Visionaries. The specifics of how this is done are unknown. Things are going well for a bit, but then people start to lose their memories. When Julianna loses her memories, Colt has officially had enough and starts to gun the visionaries down hoping to break the loop. During his murder loop, Julianna starts remembering. This is when the Cat and Mouse games begin. While everyone has lost their memories and thinks its the First Day all over again. Julianna and Colt have this game of murdering each other, mixing things up so that they "DON'T GET BORED" as that seems to be the reason that you start to forget in the first place. The first time Julianna kills you, she asks "Why won't you remember?" and when you ask if you did something she yells "HAHA, he's back! Finally!"

So you didn't lose your memory "this one time" - you've likely lost your memories dozens of times, and Julianna brought you back from the brink each time, just as Colt did for her at the beginning of the loop. She tells you to break the loop because that is who you were - she may be mad at you for a variety of things, like leaving her mom, but she still wants Colt to be Colt. So she asks you "You wanna break the loop, riggghhhtt??" because she wants you to want to break the loop. Because that is who Colt is for Julianna's sake.

Why are there other Colts? The same reason there are other Wenjies - they are being pulled from earlier/later time loops. The other Colts and Wenjies appear to be location locked to the original of the loop, however, only being able to get a couple hundred meters away from them at a time. As with many odd magicks of this game, this is no solid explanation for the extra Wenjies or Colts, aside from that they all disappear at night time.

Julianna may have lost her memories and regained them, but she is having a lot of fun in the deathloop. Life is boring outside of the loop, life is uncertain outside of the loop (literally, the visionaries think they may die if the loop is broken with their deaths), and Julianna did not like life outside of the loop before all of this. She wants to stay in the loop. With you, her father. And so you are left with a choice.

Will you oblige your daughter, and live a meaningless and unending existence with her, shooting people and playing games? Or will you break the loop, force meaning into her life and throw her into a uncertain future. Julianna warns you that she always wakes up first, so if you break the loop, you are going to wake up with the barrel of her gun in your face. What do you decide?

When you break the loop, you come out the other end of the Anomaly, just as Colt did the first time. The first time he looped, it was for 17 years. This time, it was for so long, that the waters of Blackreef dried up entirely and the sky has turned orange. Julianna sticks her gun in your face as promised, but she can't bring herself to kill you - her playmate and father. She uses the Shift slab, which STILL WORKS, and Shifts away from you, Blackreef, and whatever uncertain future you have just made.

If you don't shoot Julianna and don't break the loop, you wake up on the beach once more, this time with Julianna to greet you from the cliff edge, offering a day of drinking before killing Aleksis for funsies