The search for new states that exhibit topological order is currently a very active and exciting area of research. Like a topological insulator, superconducting order can also exhibit topological order, which is different from that of a conventional superconductor. This superconductor is so-called " topological superconductor”, which has a full pairing gap in the bulk and gapless surface state. Majorana Fermions obey non-Abelian fractional statistics, and have been proposed to construct topological qubits, so there is a great prospect of scientific research and application in topological quantum computing. It is very interesting that Majorana Fermions are predicted to exist in topological superconductors. However, natural topological superconductor is very rare. Inspired by the realization of topological insulators, theoretical physicists have proposed that via the fabrication of the s-wave superconductor/topological insulator heterostructure, Majorana Fermions may exist in the superconducting topological insulator induced by proximate effect. Due to various kinds of topological insulators and conventional s-wave superconductors, heterostructures constructed by this method can greatly increase the variety of artificial topological superconductors. In this paper we review the experimental progress in the heterostructure composed of the Bi₂Te₃-type topological insulator and the conventional s-wave superconductor NbSe₂. Using molecular beam epitaxy, atomically flat topological insulator film can be fabricated at the top of superconductor substrate. The spatial distribution of Majorana Fermions on the surface of topological insulator can be directly observed by in situ scanning tunneling microscopy/spectroscopy. In the center of a magnetic vortex, Majorana Fermions will appear as the Majorana zero mode, a zero-energy peak inside the superconducting gap. Although the energy gap between low energy quasiparticle excitation and the Majorana zero mode is very small, the evidences such as zero bias conductance anomaly, Y-shape splitting of zero-bias conductance, spin-selective Andreev reflection are self-consistent and reveal that the Majorana zero mode exists in the center of a magnetic vortex. These experiments have led to a new insight into superconductivity. It may open a door to probing the novel physics of Majorana fermions.