A van der Waals (vdW) heterostructure is formed by combining multiple materials through vdW bonds. It can combine the advantages of electronic, optical, thermal, and magnetic properties of different 2D materials and has the potential to develop into the next generation of high‐performance functional devices. Herein, the current research advances of vdW heterostructures are reviewed. First, current fabrication methods and physical structures of vdW heterostructures are summarized. The 2D/nD (n = 0,1,2,3) mixed‐dimensional heterostructures are discussed in detail. Second, a new type of vdW heterostructure is introduced based on two‐dimensional electron gas with a nanoscale junction interface. Finally, the application prospects of vdW heterostructures in photoelectric and memory devices are further outlined by combing new applications in the neural networks. This review shows that vdW heterostructures have great advantages in high integration, energy harvesting, and logical operations, and it provides directions and suggestions for the future research and application of environmentally friendly, high‐performance, and smart functional devices.