In the face of high costs and the insufficient energy density of current lithium-ion batteries, aqueous rechargeable zinc (Zn)–air batteries with the advantages of low cost, environmental benignity, safety, and high energy density have been growing in importance in recent years. The practical application of Zn–air batteries, however, is severely restricted by the high overpotential, which is associated with the inherent sluggish kinetics of the oxygen evolution reaction (OER) and the oxygen reduction reaction (ORR) of air electrocatalysts. Recently, engineering heterostructured/hybrid electrocatalysts with modulated interface chemistry have been demonstrated as an effective strategy to improve the catalytic performance. Significant electronic effects, geometric effects, coordination effects, synergistic effects, and confinement effects occur at the heterostructure interface, which intensely affect electrocatalysts’ performance in terms of intrinsic activity, active site density, and durability. In this review, the recent progress in the development of heterostructured air electrocatalysts by interface engineering is summarized. Particularly, the potential relationship between interface chemistry and oxygen electrocatalysis kinetics is bridged and outlined. This review provides a comprehensive and in-depth outline of the crucial role of the well-defined interfaces towards fast oxygen electrocatalysis, and offers a solid scientific basis for the rational design of efficient heterostructured air electrocatalysts and beyond.