Mainstream silicon photonic integrated circuits are based on compact and low-loss silicon-on-insulator (SOI) waveguide platforms. However, monolithic SOI-based photonics provides only a limited number of functional device types. Here, to extend the on-chip capabilities, we propose a general heterogeneous integration approach to embed highly nonlinear III-V (AlGaAs) photonics into the SOI platform. We develop low-loss AlGaAs-on-SOI photonic circuits with integrated Si waveguides and showcase sub-milliwatt-threshold (∼0.25mW) Kerr frequency comb generation in ultrahigh-Q AlGaAs microrings (Q over 106) at the telecom bands. Our demonstration complements existing mature Si photonics technology with efficient nonlinear functionalities provided by III-V and propels conventional Si photonics into emerging nonlinear photonic applications towards fully chip-based nonlinear engines.