Since their discovery in 2011, MXenes (abbreviation for transition metal carbides, nitrides, and carbonitrides) have emerged as a rising star in the family of 2D materials owing to their unique properties. Although the primary research interest is still focused on pristine MXenes and their composites, much attention has in recent years been paid also to MXenes with diverse compositions. To this end, this work offers a comprehensive overview of the progress on compositional engineering of MXenes in terms of doping and substituting from theoretical predictions to experimental investigations. Synthesis and properties are briefly introduced for pristine MXenes and then reviewed for hetero‐MXenes. Theoretical calculations regarding the doping/substituting at M, X, and T sites in MXenes and the role of vacancies are summarized. After discussing the synthesis of hetero‐MXenes with metal/nonmetal (N, S, P) elements by in situ and ex situ strategies, the focus turns to their emerging applications in various fields such as energy storage, electrocatalysts, and sensors. Finally, challenges and prospects of hetero‐MXenes are addressed. It is anticipated that this review will be beneficial to bridge the gap between predictions and experiments as well as to guide the future design of hetero‐MXenes with high performance.