The foundational paper of Coifman-Rochberg-Weiss provided a constructive proof of the weak factorizations of the classical Hardy space in terms of Riesz transforms. In this paper, we establish the factorization theorems for the weighted Hardy spaces. The results are also extended to the multilinear setting. Furthermore, we show that the weighted BMO space and weighted Lipschitz spaces are necessary for the weighted boundedness of commutators of the multilinear Calderón-Zygmund and fractional integral operators, respectively.