In our review we consider the results on the development and exploration of heterostructured photoactive materials with major attention focused on what are the better ways to form this type of materials and how to explore them correctly. Regardless of what type of heterostructure, metal–semiconductor or semiconductor–semiconductor, is formed, its functionality strongly depends on the quality of heterojunction. In turn, it depends on the selection of the heterostructure components (their chemical and physical properties) and on the proper choice of the synthesis method. Several examples of the different approaches such as in situ and ex situ, bottom‐up and top‐down, are reviewed. At the same time, even if the synthesis of heterostructured photoactive materials seems to be successful, strong experimental physical evidence demonstrating true heterojunction formation are required. A possibility for obtaining such evidence using different physical techniques is discussed. Particularly, it is demonstrated that the ability of optical spectroscopy to study heterostructured materials is in fact very limited. At the same time, such experimental techniques as high‐resolution transmission electron microscopy (HRTEM) and electrophysical methods (work function measurements and impedance spectroscopy) present a true signature of heterojunction formation. Therefore, whatever the purpose of heterostructure formation and studies is, the application of HRTEM and electrophysical methods is necessary to confirm that formation of the heterojunction was successful.