As the substance carrier of nonlinear optical phenomenon, saturable absorber is an essential material for generating the ultrafast pulse laser. The saturable absorbers based on graphene, transition metal sulfides, topological insulators, black phosphorus and other two-dimensional (2D) materials exhibit different optical advantages. However, limitations of those single 2D materials as saturable absorbers exist. The nanomaterial heterojunction structure can combine the advantages of different 2D materials to achieve optical complementarity, and it also provides new ideas for generating the ultrafast laser with ultrashort pulse duration and high peak power. Here in this paper, the preparation methods, band alignment and the electronic transition mechanism of heterojunction saturable absorbers are summarized, and the recent research progress of ultrafast lasers based on 2D nano-heterostructures are also reviewed, including the wavelength, pulse width, repetition frequency and pulse energy. Therefore, 2D nano-heterostructure exhibits great potential applications in future optical modulator and optical switch.