Amorphous alloys are the glassy solids that are formed through the glass transition of high-temperature melts. They therefore inherit the long-ranger disorders of melts and many quenched-in defects such as free volume. This inevitably leads to structural heterogeneity on a nanoscale that is believed to be as fertile sites for initiating relaxation and flow. However, due to limitations of spatiotemporal measurements, experimental characterization of the nanoscale structural heterogeneity in amorphous alloys has faced a great challenges. In this paper, an in-situ tensile testing setup with synchrotron small angle X-ray scattering is designed for a Zr-based (Vitreloy 1) amorphous alloy. By the small angle X-ray scattering, the structural heterogeneity of the Vitreloy 1 amorphous alloy can be described by the fluctuation of electron density. The small angle scattering images are recorded with the charge coupled device (CCD) detector, and then are azimuthally integrated into the one-dimensional scattering intensity curves using the FIT2D software. We apply the Porod law, Guinier law and Debye law to the obtained scattering intensity curves, and attempt to obtain the information about structural heterogeneity in the Vitreloy 1 amorphous alloy at different stress levels.The results indicate that the scattering intensity curve of the Vitreloy 1 amorphous alloy exhibits the positive deviation of Porod law. This observation proves that the amorphous alloy belongs to the non-ideal two-phase system, corresponding to the complicated spatial distribution between soft/liquid-like and hard/solid-like phases. According to the Porod's law, it is revealed that the diffuse interface exists between the two phases, associated with the density fluctuations in either of phases. Furthermore, we demonstrate that different scatterers coexist in the amorphous alloy and their characteristic sizes measured by the radius of gyration are mainly distributed between 0.8 nm and 1.6 nm. It deserves to note that the range of radii of gyration of scatterers are close to the equivalent sizes (1.3–1.9 nm) of shear transformation zones (STZs) for plastic flow in amorphous alloys. In addition, the shape of scatterer is far from a sphere, reminiscent of STZ activation regions of flat discs. It is therefore concluded that the scatterers with larger gyration radius correspond to the soft regions for the potential STZs, while those with smaller gyration radius correspond to the hard regions with lower free volume concentration. Finally, based on the correlation function defined by Debye, we analyze the correlation of electron density fluctuation between two arbitrary scatterers. The result indicates that the nanoscale scatterers in the amorphous alloy are strongly correlated only within a range of about 1 nm, which is consistent with the short-range ordered and long-range disordered structural features of the amorphous alloy. The image of the nanoscale heterogeneous structures characterized by the small angle X-ray scattering is almost not changed in the elastic deformation stage of the amorphous alloy. The present findings increase our understanding of the nanoscale structural heterogeneity in amorphous alloys, which is an important step to describe glass flow and relaxation.