Multi-material laser powder bed fusion (LPBF) additive manufacturing is a promising approach for integrating the functionality and mechanical performance of dissimilar materials into complex parts. This review offers a comprehensive overview of the recent advancements in multi-material LPBF, with a particular focus on compositionally heterogeneous/gradient parts and their fabrication methods and equipment, control of interfacial defects, innovative designs, and potential applications. It commences with the introduction of LPBF-processed compositionally heterogeneous/gradient structures with dissimilar material distributions, including Z-direction compositionally heterogeneous structures, compositionally gradient structures in the Z-direction and XY planes, and three-dimensional (3D) compositionally heterogeneous structures. Subsequently, various LPBF methods and equipment for fabricating compositionally heterogeneous/gradient structures have been presented. Furthermore, the interfacial defects and process control during LPBF for these types of compositionally heterogeneous/gradient structures are discussed. Additionally, innovative designs and potential applications of parts made from compositionally heterogeneous/gradient structures are illustrated. Finally, perspectives on the LPBF fabrication methods for compositionally heterogeneous/gradient structures are highlighted to provide guidance for future research.