The ability to comprehensively profile cellular heterogeneity in functional proteome is crucial in advancing the understanding of cell behavior, organism development, and disease mechanisms. Conventional bulk measurement by averaging the biological responses across a population often loses the information of cellular variations. Single‐cell proteomic technologies are becoming increasingly important to understand and discern cellular heterogeneity. The well‐established methods for single‐cell protein analysis based on flow cytometry and fluorescence microscopy are limited by the low multiplexing ability owing to the spectra overlap of fluorophores for labeling antibodies. Recent advances in mass spectrometry (MS), microchip, and reiterative staining‐based techniques for single‐cell proteomics have enabled the evaluation of cellular heterogeneity with high throughput, increased multiplexity, and improved sensitivity. In this review, the principles, developments, advantages, and limitations of these advanced technologies in analysis of single‐cell proteins, along with their biological applications to study cellular heterogeneity, are described. At last, the remaining challenges, possible strategies, and future opportunities that will facilitate the improvement and broad applications of single‐cell proteomic technologies in cell biology and medical research are discussed.