Structural properties and thermal stability of CdZnO/ZnO heterostructures grown on sapphire substrate by metal-organic vapor phase epitaxy (MOVPE) have been studied. Zn/Cd interdiffusion and Cd evaporation appear as key factors limiting the thermal stability of CdZnO/ZnO heterostructures. Cd diffusion in MOVPE ZnO is found to start already at 600 C with an activation energy of $2.2 eV and yields a saturation in the Cd concentration at 0.1-1 at. %. The actual Cd content remaining in the samples upon annealing is determined by a competition between Cd evaporation via the surface and diffusion/segregation in the bulk. V