Hydrogels have been widely used in many fields including biomedicine and water treatment. Significant achievements have been made in these fields due to the extraordinary properties of hydrogels, such as facile processability and tissue similarity. However, based on the in-depth study of the microstructures of hydrogels, as a result of the enhancement of biomedical requirements in drug delivery, cell encapsulation, cartilage regeneration, and other aspects, it is challenge for conventional homogeneous hydrogels to simultaneously meet different needs. Fortunately, heterogeneous multilayer hydrogels have emerged and become an important branch of hydrogels research. In this review, their main preparation processes and mechanisms as well as their composites from different resources and methods, are introduced. Moreover, the more recent achievements and potential applications are also highlighted, and their future development prospects are clarified and briefly discussed.