Recent experimental synthesis of ambient-stable MoSi2N4 monolayer has garnered enormous research interest. The intercalation morphology of MoSi2N4—composed of a transition metal nitride (Mo-N) inner sub-monolayer sandwiched by two silicon nitride (Si-N) outer sub-monolayers—has motivated the computational discovery of an expansive family of synthetic MA2Z4 monolayers with no bulk (3D) material counterpart (where M = transition metals or alkaline earth metals; A = Si, Ge; and N = N, P, As). MA2Z4 monolayers exhibit interesting electronic, magnetic, optical, spintronic, valleytronic, and topological properties, making them a compelling material platform for next-generation device technologies. Furthermore, heterostructure engineering enormously expands the opportunities of MA2Z4. In this review, we summarize the recent rapid progress in the computational design of MA2Z4-based heterostructures based on first-principle density functional theory (DFT) simulations—a central work horse widely used to understand the physics, chemistry, and general design rules for specific targeted functions. We systematically classify the MA2Z4-based heterostructures based on their contact types, and review their physical properties, with a focus on their performances in electronics, optoelectronics, and energy conversion applications. We review the performance and promises of MA2Z4-based heterostructures for device applications that include electrical contacts, transistors, spintronic devices, photodetectors, solar cells, and photocatalytic water splitting. We present several prospects for the computational design of MA2Z4-based heterostructures, which hold the potential to guide the next phase of exploration, moving beyond the initial “gold rush” of MA2Z4 research. This review unveils the vast device application potential of MA2Z4-based heterostructures and paves a roadmap for the future development of MA2Z4-based functional heterostructures and devices.