The magnetoelectric (ME) heterostructure is composed of ferromagnetic and ferroelectric materials. The heterostructural ME effect originates from piezoelectric effect in the ferroelectric component and magnetostrictive effect in the ferromagnetic component. The magnetoelectric heterostructure has higher magnetoelectric coupling coefficient and lower dielectric loss than the particulate composites, and thus leading to several promising applications such as in the magnetic field sensors, the energy harvesters, antenna and memory devices. In this paper, we review the recent research progress in ME heterostructure for device applications, and present a development course of ME heterostructure. Finally, we also summarize the challenges of developing the ME heterostructure and point out its perspectives.