Black phosphorus (BP), an emerging two-dimensional material, is considered a promising candidate for next-generation electronic and optoelectronic devices due to in-plane anisotropy, high mobility, and direct bandgap. However, BP devices face challenges due to their limited stability, photo-response speed, and detection range. To enhance BP with powerful electrical and optical performance, the BP heterostructures can be created. In this review, the state-of-the-art heterostructures and their electrical and optoelectronic applications based on black phosphorus are discussed. Five parts introduce the performance of BP-based devices, including black phosphorus sandwich structure by hBN with better stability and higher mobility, black phosphorus homojunction by dual-gate structure for optical applications, black phosphorus heterojunction with other 2D materials for faster photo-detection, black phosphorus heterojunction integration with 3D bulk material, and BP via As-doping tunable bandgap enabling photo-detection up to 8.2 μm. Finally, we discuss the challenges and prospects for BP electrical and optical devices and applications.