Photocatalytic reactions for fuel generation are crucial for the world's energy needs. Covalent‐Organic‐Frameworks (COFs) have been extensively studied as promising designable photocatalysts for these reactions due to their efficient visible‐light absorption, suitable energy‐band structure, facilitated intramolecular charge separation, and fast mass transfer. However, the activities of pristine COFs remain unsatisfactory, due to intermolecular charge recombination. Recently, COF‐based heterostructures, which combine COFs with metal‐sulfides, metal‐oxides, carbon materials, or MOFs, have attracted increasing attention for enhancing solar‐to‐fuel conversion efficiency by facilitating interfacial photo‐generated carrier separation, sensitizing wide‐gap semiconductors, and promoting surface redox reactions. Thus, a review of the state‐of‐the‐art progress of COF‐based heterostructure photocatalysts in reactions such as H2 evolution, CO2 reduction, O2 evolution, H2O splitting and CO2 splitting is crucial for the design of new photocatalysts to promote solar‐to‐fuel conversion. In this review, the COF‐based heterostructures photocatalysts are highlighted based on their synthesis, properties, and reasons for enhanced activities. Moreover, design principles are raised for such photocatalysts for each fuel generation reaction, based on insights into related research. Finally, this review is concluded by proposing future trends for COF‐based heterostructures photocatalysts, with attention to the design of COFs and supports, analyzing the photocatalytic reaction dynamics, together with considering practical applications.