Functionalized mesoporous silica materials (MSMs) are extensively investigated in sensing science due to their diverse structural and optical properties including tunable pore size, modifiable surface properties, and excellent accessibility to active sites. In the last few years, great efforts have been devoted to developing modification methods for MSMs for sensing applications with augmented sensitivity, super selectivity, as well as targeting capability, and multimodal capabilities. The functional group, structure, morphology, and component levels in the assembly of heterostructures of MSMs are a key for high sensing performance. As the development of mesoporous silica‐based sensing materials progresses, diverse functional units and materials are rationally implemented into the mesoporous structures. These heterostructures can maintain the excellent structural features of mesoporous silica and the optical properties of the functional units simultaneously, which shows the advantages of photostability, design flexibility, and multifunctionality. Here, an up‐to‐date overview of the fabrication strategies, the properties, and the sensing mechanisms of optical heterostructures based on MSMs is provided. A number of crucial sensing domains, including ionic, molecules, temperature, and biological species are highlighted. Finally, the prospects and potential sensing applications of mesoporous silica‐based optical heterostructures are discussed.