Two-dimensional (2D) transition metal dichalcogenide (TMD) heterostructures have attracted a lot of attention due to their rich material diversity and stack geometry, precise controllability of structure and properties, and potential practical applications. These heterostructures not only overcome the inherent limitations of individual materials but also enable the realization of new properties through appropriate combinations, establishing a platform to explore new physical and chemical properties at micro-nano-pico scales. In this review, we systematically summarize the latest research progress in the synthesis, modulation, and application of 2D TMD heterostructures. We first introduce the latest techniques for fabricating 2D TMD heterostructures, examining the rationale, mechanisms, advantages, and disadvantages of each strategy. Furthermore, we emphasize the importance of characteristic modulation in 2D TMD heterostructures and discuss some approaches to achieve novel functionalities. Then, we summarize the representative applications of 2D TMD heterostructures. Finally, we highlight the challenges and future perspectives in the synthesis and device fabrication of 2D TMD heterostructures and provide some feasible solutions.