Lactoferrin (LF) is an important iron-binding glycoprotein found in milk and mucosal secretions. The alkaline lactoferrin can interact with some acidic proteins to form heteroprotein systems with multifunctional properties and a wide range of applications. Lactoferrin can interact with animal and plant proteins mainly through the electrostatic forces, dipolar attraction, and hydrophobic interactions. In this review, the types of heteroprotein complexes formed by the complex coacervation of lactoferrin with other proteins are introduced, including the preparation, structure, and applications. The factors affecting the formation of heteroprotein complexes are described, such as pH, ionic strength, mixing ratio, total protein concentration, and temperature. The issues and challenges in the formation of heteroprotein complexes are also discussed.