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Heterogeneous graphs (HGs) also known as heterogeneous information networks have become ubiquitous in real-world scenarios; therefore, HG embedding, which aims to learn representations in a lower-dimension space while preserving the heterogeneous structures and semantics for downstream tasks (e.g., node/graph classification, node clustering, link prediction), has drawn considerable attentions in recent years. In this survey, we perform a comprehensive review of the recent development on HG embedding methods and techniques. We first introduce the basic concepts of HG and discuss the unique challenges brought by the heterogeneity for HG embedding in comparison with homogeneous graph representation learning; and then we systemically survey and categorize the state-of-the-art HG embedding methods based on the information they used in the learning process to address the challenges …