Owing to the superior mechanical and physical properties, metallic glasses (MGs) have attracted tremendous attention as promising candidates for structural and functional applications. Unfortunately, the ability to form uncontrollable glasses, the poor stability and the unpredicted catastrophic failure stemming from the disordered structure, as the Achilles' heel of MGs, severely restrict their large-scale applications. A number of phenomenological models, such as free volume model, shear transformation zone (STZ) model, flow unit model, etc., have been proposed, intending to relate microstructures to properties of MGs. However, few sophisticated structure-property relationships are established due to a poor understanding of the microstructure of MGs. Recently, heterogeneity is commonly believed to be intrinsic to MGs, and it can be used to establish the structure-property relationship of MGs. In this paper, we review the recent progress of MGs from the angle of heterogeneity, including the static heterogeneities and dynamic heterogeneities. The perspectives of the scientific problems and the challenges of metallic glass researches are also discussed briefly.