Heterorotaxanes, in which at least two types of macrocycles were introduced as the wheel components in rotaxanes, have attracted more and more attention during the past few decades owing to their unique structural features and intriguing properties. The coexistence of varied macrocycles endows the resultant heterorotaxanes not only versatile shuttling and switching behaviors but also great potential for the construction of functional rotaxane systems for applications. In this feature article, a survey of the successful synthesis of heterorotaxanes will be provided based on the various strategies towards the synthesis of heterorotaxanes, i.e. orthogonal binding approach, self-sorting approach, cooperative capture approach, active metal template approach, etc.