Metal–organic frameworks (MOFs), as a subclass of porous crystalline materials with unique structures and multifunctional properties, play a pivotal role in various research domains. In recent years, significant attention has been directed toward composite materials based on MOFs, particularly MOF‐on‐MOF heterostructures. Compared to individual MOF materials, MOF‐on‐MOF structures harness the distinctive attributes of two or more different MOFs, enabling synergistic effects and allowing for the tailored design of diverse multilayered architectures to expand their application scope. However, the rational design and facile synthesis of MOF‐on‐MOF composite materials are in principle challenging due to the structural diversity and the intricate interfaces. Hence, this review primarily focuses on elucidating the factors that influence their interfacial growth, with a specific emphasis on the interfacial engineering of heterogeneous reactions, in which MOF‐on‐MOF hybrids can be conveniently obtained by using pre‐fabricated MOF precursors. These factors are categorized as internal and external elements, encompassing inorganic metals, organic ligands, lattice matching, nucleation kinetics, thermodynamics, etc. Meanwhile, these intriguing MOF‐on‐MOF materials offer a wide range of advantages in various application fields, such as adsorption, separation, catalysis, and energy‐related applications. Finally, this review highlights current complexities and challenges while providing a forward‐looking perspective on future research directions.