Semiconductor heterojunctions play a crucial role in exploring novel physics and developing advanced devices. Due to the characteristic electronic band structure, such as the narrow bandgap and the large spin-orbital interaction, the Ⅳ-Ⅵ compound semiconductor heterojunctions are not only of great importance to infrared detectors, but also arouse extensively concern in the frontier fields of physics, like topological insulators (TIs) and spintronics. Most excitingly, the two-dimensional electron gas (2DGE) with high electron density and high mobility is revealed at the interface of the typical Ⅳ-Ⅵ compound semiconductor CdTe/PbTe heterojunction, the formation of which is attributed to the unique twisted interface of the Ⅳ-Ⅵ compound semiconductor heterojunctions. Further researches demonstrate that the 2DEG system boasts prominent infrared photoresponse and is of Dirac fermion nature. This review presents the major progress in Ⅳ-Ⅵ compound semiconductor heterojunction 2DEG in the past decades. First, the formation mechanism of the twisted heterojunction 2DEG is discussed based on both theoretical and experimental results. By molecular beam epitaxy the novel lattice-mismatch heterostructure CdTe/PbTe with sharp interface was obtained and first-principle calculations revealed that the alternately changed atomic layer spacing played a crucial role in the formation of 2DEG. High resolution transmission electron microscope image of the interface clearly demonstrated the twisted interfacial structure and showed that the interfacial Te-sharing bonding configuration provided the excessive electrons. Second, we show the transport properties of the 2DEG under the condition of low temperature and high magnetic field, and the unambiguous π Berry phase of quantum oscillations indicate that the 2DEG is of Dirac fermion nature and demonstrate its potential for realizing two-dimensional TI and spintronic device. Moreover, the 2DEG exhibits quite high mobility, making it candidate for high electron mobility transistor. At last, the high-performance mid-infrared photodetector is displayed, which is built based on the typical Ⅳ-Ⅵ compound semiconductor CdTe/PbTe heterojunction. The most exciting feature of the detector is that it is able to achieve high-speed response with satisfying detectivity while working at room temperature, which could be a complementation to state-of-art mid-infrared photodetectors. In summary, the Ⅳ-Ⅵ compound semiconductor heterojunctions are of great significance not only in fundamental physics but also in device applications, and this review could provide the researchers with the main results in the field.