Two-dimensional (2D) materials have received increasing attention in the scientific research community owing to their unique structure, which has endowed them with unparalleled properties and significant application potential. However, the expansion of the applications of an individual 2D material is often limited by some inherent drawbacks. Therefore, many researchers are now turning their attention to combine different 2D materials, making the so-called 2D heterostructures. Heterostructures can integrate the merits of each component and achieve a complementary performance far beyond a single part. MXene, as an emerging family of 2D nanomaterials, exhibits excellent electrochemical, electronic, optical, and mechanical properties. MXene-based heterostructures have already been demonstrated in applications such as supercapacitors, sensors, batteries, and photocatalysts. Nowadays, increasing research attention is attracted onto MXene-based heterostructures, while there is less effort spent to summarize the current research status. In this paper, the recent research progress of MXene-based heterostructures is reviewed, focusing on the structure, common preparation methods, and applications in supercapacitors, sensors, batteries, and photocatalysts. The main challenges and future prospects of MXene-based heterostructures are also discussed to provide valuable information for the researchers involved in the field.