Metal–organic frameworks (MOFs) are an emerging class of molecular crystalline materials built from metal ions or clusters bridged by organic linkers. By taking advantage of their synthetic tunability and structural regularity, MOFs can hierarchically integrate nanoparticles and/or biomolecules into a single framework to enable multifunctions. The MOF-protected heterostructures not only enhance the catalytic capacity of nanoparticle components but also retain the biological activity of biomolecules in an intracellular microenvironment. Therefore, the multifunctional MOF heterostructures have great advantages over single components in cancer therapy. In this review, we comprehensively summarize the general principle of the design and functional modulation of nanoscaled MOF heterostructures, and biomedical applications in enhanced therapy within the last five years. The functions of MOF heterostructures with a controlled size can be regulated by designing various functional ligands and in situ growth/postmodification of nanoparticles and/or biomolecules. The advances in the application of multifunctional MOF heterostructures are also explored for enhanced cancer therapies involving photodynamic therapy, photothermal therapy, chemotherapy, radiotherapy, immunotherapy, and theranostics. The remaining challenges and future opportunities in this field, in terms of precisely localized assembly, maximizing composite properties, and processing new techniques, are also presented. The introduction of multiple components into one crystalline MOF provides a promising approach to design all-in-one theranostics in clinical treatments.