This paper aims to provide a comprehensive review of the state-of-the-art modeling and optimization methods for multi-scale heterogeneous lattice structures (MSHLS) to further facilitate the more design freedom. In this survey, a design process including optimization and modeling for MSHLS is proposed. Material composition and multi-scale geometric modeling methods for representation of material and geometry information are separately discussed. Moreover, the optimization methods including multi-scale and multi-material optimization design methods, as well as the simulation methods suitable for MSHLS are, respectively, reviewed. Finally, the relationship, advantages, and disadvantages of MSHLS modeling and optimization methods are summarized with discussion and comparison, which provides a guidance to further take advantage of MSHLS to improve the performance and multifunctional purpose of production for software developers and researchers concerning the design approaches and strategies currently available.