2D MXenes have attracted considerable attention due to their high electronic conductivity, tunable metal compositions, functional termination groups, low ion diffusion barriers, and abundant active sites. However, MXenes suffer from sheet stacking and partial surface oxidation, limiting their energy storage and water treatment development. To solve these problems and enhance the performance of MXenes in practical applications, various hierarchical MXene/transition metal oxide (MXene/TMO) heterostructures are rationally designed and constructed. The hierarchical MXene/TMO heterostructures can not only prevent the stacking of MXene sheets and improve the electronic conductivity and buffer the volume change of TMOs during the electrochemical reaction process. The synergistic effect of conductive MXenes and active TMOs also makes MXene/TMO heterostructures promising electrode materials for energy storage and seawater desalination. This review mainly introduces and discusses the recent research progress in MXene/TMO heterostructures, focusing on their synthetic strategies, heterointerface engineering, and applications in rechargeable batteries, capacitors, and capacitive deionization (CDI). Finally, the key challenges and prospects for the future development of the MXene/TMO heterostructures in rechargeable batteries, capacitors, and CDI are proposed.