Heterogeneous architectures are vastly used in various high performance computing systems from IoT‐based embedded architectures to edge and cloud systems. Although heterogeneous architectures with cooperation of CPUs and GPUs and unified address space are increasingly used, there are still a lot of open questions and challenges regarding the design of these architectures. For evaluation, validation and exploration of next generation of heterogeneous CPU–GPU architectures, it is essential to use unified heterogeneous simulators for analyzing the execution of CPU–GPU workloads. This article presents a systematic review on challenges of heterogeneous CPU–GPU architectures with covering a diverse set of literatures on each challenge. The main considered challenges are shared resource management, network interconnections, task scheduling, energy consumption, and programming model. In addition, in this article, the state‐of‐the‐art of heterogeneous CPU–GPU simulation platforms is reviewed. The structure and characteristics of five cycle‐accurate heterogeneous CPU–GPU simulators are described and compared. We perform comprehensive discussions on the methodologies and challenges of designing high performance heterogeneous architectures. Moreover, for developing efficient heterogeneous CPU–GPU simulators, some recommendations are presented.