With the further acceleration in the industrialization process, organic pollutants and gas pollution in the environment have posed severe threats to human health. It has been a global challenge regarding achieving an efficient solution to pollutant degradation. In such a context, photocatalysts have attracted researchers’ attention for their simplicity, efficiency, cleanliness and low cost. However, the single photocatalyst is facing a research bottleneck owing to its narrow light absorption spectrum and high photocarrier recombination rate. Given that heterojunctions can achieve efficient separation of photogenerated carriers in space, constructing heterostructured photocatalysts has become the most perspective method to improve the performance of photocatalysts. Furthermore, nanoparticles prepared through colloidal chemistry have the characteristics of high dispersion, stability and adsorption, further enhancing the degradation efficiency of heterostructured photocatalysts. This article reviews the primary methods for preparing heterostructured photocatalysts through colloidal chemistry, classifies the heterojunction types by transport routes of photogenerated carriers and summarizes the recent progress of heterostructured photocatalysts in pollutant degradation. To implement environmental remediation, it is crucial to explore economical and efficient photocatalysts for practical applications. It is hoped that this review will stimulate further exploration of colloidal heterostructured photocatalysts for pollutant degradation.