The atomic arrangement of metallic glasses lacks long-range periodicity, and exhibits structural characteristics of an amorphous state. Their unique structural features lead to research methods that differ from traditional metallic crystalline materials, focusing mainly on two scales: one is a macroscopic scale, on which glass-forming ability and mechanical behavior are investigated through alloy design, thermodynamic parameters, and other means; the other is an atomic scale, on which short- to medium-range orders of metallic glass are studied through computational simulations and diffraction techniques. There is a difference of over seven-orders of magnitude between the two scales, which makes it difficult to establish a direct quantitative relationship between them. Therefore, a structural feature is needed that can connect atomic configurations with macroscopic properties on a mesoscopic scale. With the development of amorphous structure characterization technique, it has been found that metallic glasses exhibit spatial heterogeneity at the nanometer and micrometer levels above a short-to-medium range, with their scales ranging between macroscopic and atomic scales. This article introduces experimental characterization methods for spatial heterogeneity, focuses on the electron microscopic characterization methods of spatial heterogeneity and local atomic orders, and discusses their intrinsic correlations with macroscopic properties such as β-relaxation behavior, mechanical behavior, thermodynamic stability, and glass-forming capability. Spatial heterogeneity, as a structural characteristic of metallic glasses on a mesoscopic scale, can serve as a link between short/medium-range orders and macroscopic properties of atoms.