Up to now, the development of gas sensors based on metal oxide semiconductors (MOSs) that can detect triethylamine (TEA) under high humidity conditions remains a significant challenge. In this study, we present the ZrO2-CeO2/WO3 (ZCW) heterostructure films for TEA detection under high relative humidity, which were prepared by co-sputtering ZrO2 and CeO2 onto the surface of a WO3 film using the radio frequency magnetron sputtering method. The gas sensors based on the ZCW heterostructure films exhibited outstanding TEA-sensing performance, including high response (18.56–20 ppm), rapid response/recovery rate (1/5 s), excellent selectivity, wide detection range (0.5–500 ppm), outstanding reproducibility and stability, and ideal anti-humidity ability. The excellent TEA-sensing properties of the ZCW heterostructure films should be mainly attributed to their unique surface microstructure, abundant oxygen vacancies, and the formation of heterostructures between ZrO2, CeO2, and WO3. Compared to the WO3 film, both the CeO2/WO3 and ZrO2-CeO2/WO3 films demonstrated highly-enhanced humidity-tolerant performance, which should result from the redox reactions between the Ce3+ and Ce4+ ions. This study provides a general method for preparing the MOSs-based TEA sensors that could work under high humidity condition.