The high demand for clean and renewable energy has fueled the exploration of advanced energy storage systems. Sodium-ion batteries (SIBs) and potassium-ion batteries (PIBs) provide huge potential due to their earth abundance, high capacity, various types and good electron transport dynamics, and are recognized as new attractive energy storage systems. However, the practical development of next-generation SIBs/PIBs anode is impeded by formidable challenges, including relatively low energy density, unique reaction system and delicate structure design/construction. To overcome these difficulties, the heterostructure anodes (HSAs) are extensively investigated and highly expected to provide guidance for new materials exploration and electrochemical properties enhancement. Herein, comprehensive understandings of the electrochemical behaviors, reaction mechanisms and future modification strategy for HSAs are summarized and unveiled in this review. Recent progresses on HSAs are introduced in terms of synthesis approaches, characterization methods and heterostructure types. Especially, the critical reaction mechanisms and corresponding electrochemical features are summarized, accompanied with state-of-the-art fabrication strategies and characterization techniques. Furthermore, an overview associated to the current challenges and perspective for future HSAs is exhibited, which can provide guidance and promote the development of HSAs for next-generation rechargeable batteries.