Abstract: Benefiting from the dual advantages of “multi-principal elements” and “heterogeneous structures”, heterogeneous-structured high-entropy alloys (HS-HEAs) exhibit superior mechanical properties compared to their homogeneous counterparts and thus have broad application prospects in critical engineering fields such as aerospace and chemical engineering. The extremely non-equilibrium solidification process inherent to laser-based additive manufacturing provides favorable conditions for constructing heterogeneous microstructures across multiple length scales and directly fabricating complex-shaped components. Focusing on additively manufactured HS-HEAs, starting from the basic concept of HS-HEAs and their correlation with additive manufacturing, typical heterogeneous microstructural features induced during the additive manufacturing process, including intergranular precipitates, mixed columnar and equiaxed grains, cellular substructures, and dual-phase lamellar structures, were summarized. Then, the composition design, microstructural evolution, and mechanical properties of representative systems, including heterogeneous single-phase HEAs, precipitation-strengthened HEAs, eutectic HEAs, and refractory HEAs, were systematically reviewed. Meanwhile, the structure–property characteristics of HS-HEAs fabricated by emerging processes such as 3D ink extrusion and arc additive manufacturing, particularly in terms of compositional gradients and structural partitioning, were also summarized. On this basis, the future research directions of additively manufactured HS-HEAs were outlined.