Assembling different kinds of 2D nanosheets into heterostructures presents a promising way of designing novel artificial materials with new and improved functionalities by combining the unique properties of each component. In the past few years, black phosphorus nanosheets (BPNSs) have been recognized as a highly feasible 2D material with outstanding electronic properties, a tunable bandgap, and strong in‐plane anisotropy, highlighting their suitability as a material for constructing heterostructures. In this study, recent progress in the construction of BPNS‐based heterostructures ranging from 2D hybrid structures to 3D networks is discussed, emphasizing the different types of interactions (covalent or noncovalent) between individual layers. The preparation methods, optical and electronic properties, and various applications of these heterostructures—including electronic and optoelectronic devices, energy storage devices, photocatalysis and electrocatalysis, and biological applications—are discussed. Finally, critical challenges and prospective research aspects in BPNS‐based heterostructures are also highlighted.