With paramount electrical, optical, catalytic, and other physical and chemical properties, van der Waals heterostructures (vdWHs) have captured increasing attention. vdWHs are two-dimension (2D) heterostructures formed via van der Waals (vdW) force, paving the way for fabricating, understanding, and applications of 2D materials. vdWHs materials of large lattice constant difference can be fabricated together, forming a series of unique 2D materials that cannot form heterostructures earlier. Additionally, vdWHs provide a new platform to study the interlayer interactions between materials, unraveling new physics in the system. Notably, vdWHs embody short-range bonds weaker than covalent and ionic bonds, almost only interactions between nearest particles are considered. Owing to a clear interface, vdW interaction between two different components, devices made by vdWHs can bring amazing physicochemical properties, such as unconventional superconductivity, super capacitance in intercalation 2D structure, etc. Recently, impressive progress has been achieved in the controlled preparation of vdWHs and various applications, which will be summarized in this review. The preparation methods comprise mechanical exfoliation, liquid phase stripping, physical vapor deposition, chemical vapor deposition, and metalorganic chemical vapor deposition. The applications sections will focus on photoelectric devices, logic devices, flexible devices, and piezotronics. Finally, some perspectives in the future on the controlled preparation of vdWHs with desired properties for advanced applications will be discussed.