Over the past decade, van der Waals (vdW) heterostructures has offered considerable freedom to integrate various two dimensional (2D) layered materials and proved themselves extremely versatile with unprecedented characteristics, unique functionalities and novel physics. Significant efforts have been contributed to the preparation, basic understanding, and applications of vdW heterostructures in the fields of electronics and optoelectronics. Herein, we review the recent advances of vdW heterostructures, such as, mechanical assembly of 2D vdW heterojunctions, direct vdW heterostructure growth, and the progress made in light-emitting diodes, photo detectors and photovoltaics. Finally, we conclude this review by discussing the current challenges facing 2D vdW heterostructures-based optoelectronics and offering our insights on future directions of this field.