Transitions in structural heterogeneity of colloidal depletion gels formed through short-range attractive interactions are correlated with their dynamical arrest. The system is a density and refractive index matched suspension of 0.20 volume fraction poly(methyl methacyrlate) colloids with the non-adsorbing depletant polystyrene added at a size ratio of depletant to colloid of 0.043. As the strength of the short-range attractive interaction is increased, clusters become increasingly structurally heterogeneous, as characterized by number-density fluctuations, and dynamically immobilized, as characterized by the single-particle mean-squared displacement. The number of free colloids in the suspension also progressively declines. As an immobile cluster to gel transition is traversed, structural heterogeneity abruptly decreases. Simultaneously, the mean single-particle dynamics saturates at a localization length on the order of the short-range attractive potential range. Both immobile cluster and gel regimes show dynamical heterogeneity. Non-Gaussian distributions of single particle displacements reveal enhanced populations of dynamical trajectories localized on two different length scales. Similar dependencies of number density fluctuations, free particle number and dynamical length scales on the order of the range of short-range attraction suggests a collective structural origin of dynamic heterogeneity in colloidal gels.