Metal-organic frameworks (MOFs) and covalent-organic frameworks (COFs) with highly ordered crystalline structures show numerous advantages such as large surface areas, structural tunability, well-defined accessible pores, and thermo/chemical stability. Thus, combining different types of MOFs and COFs into one system can generate abundant MOF/COF-based hybrid nanomaterials with superior performances. In comparison to single MOFs or COFs, MOF/COF heterostructures show fantastic properties due to the synergistic effects of their different components. Accordingly, in recent years, MOF/COF-based heterostructures have received increasing attention and rapid advancements, exhibiting a broad range of potential applications in gas sorption and separation, catalysis, energy transfer, biomedicine, etc. Herein, the design principles, assembly mechanisms, synthetic approaches, and applications of different MOF/COF-based hybrids are summarized in detail. The current challenges and future perspectives for MOF/COF-based hybrids are also discussed. This review can provide deep insights into MOF/COF-based heterostructures, which will be helpful for the further development of these hybrid materials with advanced applications.