The rapid development of synthesis and fabrication techniques has opened up a research upsurge in two-dimensional material heterostructures, which have received extensive attention due to their superior physical and chemical properties. Currently, thermoelectric energy conversion is an effective means to deal with the energy crisis and increasingly serious environmental pollution. Therefore, an in-depth understanding of thermoelectric transport properties in two-dimensional heterostructures is crucial for the development of micro-nano energy devices. In this review, the recent progress of two-dimensional heterostructures for thermoelectric applications is summarized in detail. Firstly, we systematically introduce diverse theoretical simulations and experimental measurements of the thermoelectric properties of two-dimensional heterostructures. Then, the thermoelectric applications and performance regulation of several common two-dimensional materials, as well as in-plane heterostructures and van der Waals heterostructures, are also discussed. Finally, the challenges of improving the thermoelectric performance of two-dimensional heterostructures materials are summarized, and related prospects are described.