Abstract As a promising alternative to lithium‐ion batteries, sodium‐ion batteries (SIBs) have garnered significant attention due to the abundance of sodium resources, low cost, and environmental friendliness. However, the development of suitable anode materials for SIBs remains challenging, primarily due to sluggish kinetics, severe volume expansion, and limited cycling stability. This review systematically summarizes recent progress in the application of heterostructure materials as SIB anodes, with a particular focus on breakthroughs achieved through theoretical calculations. Studies have demonstrated that the rational design of heterojunction interfaces across different dimensionalities can effectively enhance both electronic and ionic transport pathways, thereby improving the specific capacity and cycling performance of the battery. The built‐in electric field at the heterointerface plays a crucial role in lowering the energy barriers for sodium‐ion diffusion, thus optimizing reaction kinetics. In addition, the synergistic interactions between constituent materials significantly boost interfacial charge transfer efficiency. Density functional theory (DFT) calculations provide deep insights into the mechanisms of electronic structure modulation and adsorption energy tuning within heterostructures, offering atomic‐level guidance for material design. Despite the remarkable performance of heterostructure‐based anode materials, their large‐scale application is still constrained by issues such as interfacial instability within the heterostructure systems.