In the past decade, inspired by the discovery and of graphene, two dimensional (2D) materials which only consist of a single layer of atoms have attracted attention of scientists. A series of 2D materials including semiconducting transition metal dichalcogenides, black Phosphors, Silicene, insulating h-BN, and a number of metallic and semi-metallic materials have been synthesized and studied. Many novel physical phenomena and unique applications have been explored. Based on the rich 2D materials library, in recent years, a new sort of materials – Van der Waals (VDW) heterostructure has been created and investigated, unlike conventional semiconductor heterostructures, VDW Heterostructures do not require lattice matching and complicated growth, and they rely on VDW forces between 2D materials so they can be fabricated via artificial stacking, however they can exhibit great deal of phenomena and applications which conventional heterostructures can or cannot realize. Now people tend to believe band structures of individual layers experienced none to slight change in the VDW Heterostructures, so the charge transfers between layers become the crucial factors determining the properties of the VDW Heterostructures. Microscopies, electronics and spectroscopies are main means of studying interlayer interactions, in this thesis, we creatively utilized microscopic optical pump, mid-IR probe ultrafast spectroscopies to reveal the charge transfer dynamics of several VDW Heterostructure systems with different band alignments, include MoS2/WS2, MoS2/MoSe2, MoSe2/Graphene, MoS2/MoSe2/Graphene with different stacking orders, and we observed the charge transfer dynamics and the formation and extinction of interlayer excitons in VDW Heterostructures, a series of novel physical phenomena have been discovered experimentally. And by studying plasmonics-2D material and VDW Heterostructures systems, hot electron injection pathways were clearly revealed for the first time. The work in this thesis not only clarify some controversial opinions of the newly emerging VDW Heterostructures fields but also provide significant experimental evidence for future research.