Heterostructured materials (HSMs) have shown great potential for breaking the strength-ductility tradeoff. HSMs consist of heterogeneous zones that may have different sizes, shapes, compositions, structures, etc. Interactions and competitions among them often lead to unprecedented properties. However, due to the complex structures in a broad range of length scales, it is challenging to unravel deformation physics and strengthening mechanisms underlying extraordinary mechanical properties. Synchrotron x-rays provide powerful techniques and indispensable tools for investigating HSMs at various length scales. Here, we will present in situ high-energy x-ray diffraction and Laue x-ray microdiffraction techniques and their application in studying the HSMs. The principles of these techniques will be briefly introduced. We will focus on their application in studying stress partitioning and plastic accommodation during tensile deformation, thermo-driven and/or stress-driven phase transformations and various deformation microstructures like geometrically necessary dislocations and local stress/strain distributions, etc., in HSMs. Some important findings will be summarized. Challenging issues remain in studying HSMs and will be discussed.