Hetero-hollow structures refer to a kind of hollow micro-/nanostructures which composed of shells with distinct components. By controlling the interface and mass transfer behavior through hetero-structure, the energy and mass conversion in hollow structures would be modified. Thus, the hetero-hollow structures exhibit enhanced properties and gigantic potentials in various fields like solar energy conversion, gas sensing, electrochemical energy storage and drug delivery. To date, the design and construction of hetero-hollow structures is a charming research topic in material frontiers. In this work, the hetero-hollow structures are classified, and the characters, advantages, and especially the fabrication methods are introduced in detail. In the last, the challenges and perspectives on the future research and development of hetero-hollow structures are also discussed.