Metal–organic frameworks (MOFs) are a class of versatile porous crystalline materials with great potential for a variety of applications. MOF@MOF composites, through heterogeneous structural design, can combine the complementary properties of different MOFs and break through the limitations of single-phase MOFs with marked synergistic effects and enhanced functional properties. This review provides a timely and comprehensive analysis of MOF@MOF composite research. First, we systematically outline the synthetic methodologies. Next, we clarify the fundamental interactions between host and guest frameworks. Subsequently, the variety of MOF@MOF composites is analyzed to show how their hybrid configurations facilitate innovation across diverse applications. The discussion then shifts to specific practical uses of these composite materials. Finally, the article highlights the challenges and future directions in the development of MOF@MOF composites, offering insights into opportunities for continued exploration and optimization.