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van der Waals (vdW) heterostructures based on two-dimensional (2D) materials holding design-by-demand features offer astonishing opportunities to construct novel electronics and optoelectronics devices due to the vdW force interaction between their stacked components. At the atomically thin confinement, vdW heterostructure not only exhibits unprecedented properties as an entire counterpart, but also provides unique platforms to manipulate the vdW interfacial behaviors. Therefore, developing characterization techniques to comprehensively understand the coupling effect on structure-property-performance relationship of vdW heterostructures is crucial for fundamental science and practical applications. Here, we focus on the most widely studied 2D semiconductor transition metal dichalcogenides (TMDCs) and systematically review significant advances in characterizing the material and interfacial coupling effect of the related vdW heterostructures. Specially, we will discuss microscopy techniques for unveiling the structure-property relationship of vdW heterostructures and optical spectroscopy measurements for analyzing vdW interfacial coupling effect. Finally, we address some promising strategies to optimize characterization technologies for resolving vdW heterostructures, including coupling multiple characterization technologies, improving temporal and spatial resolution, developing fast, efficient, and non-destructive techniques and introducing artificial intelligence.