The ever-growing data privacy concerns have transformed machine learning (ML) architectures from centralized to distributed, leading to federated learning (FL) and split learning (SL) as the two most popular privacy-preserving ML paradigms. However, implementing either conventional FL or SL alone with diverse network conditions (e.g., device-to-device (D2D) and cellular communications) and heterogeneous clients (e.g., heterogeneous computation/communication/energy capabilities) may face significant challenges, particularly poor architecture scalability and long training time. To this end, this article proposes two novel hybrid distributed ML architectures, namely, hybrid split FL (HSFL) and hybrid federated SL (HFSL), by combining the advantages of both FL and SL in D2D-enabled heterogeneous wireless networks. Specifically, the performance comparison and advantages of HSFL and HFSL are analyzed generally. Promising open research directions are presented to offer commendable reference for future research. Finally, primary simulations are conducted upon considering three datasets under non-independent and identically distributed settings, to verify the feasibility of our proposed architectures, which can significantly reduce communication/computation cost and training time, as compared with conventional FL and SL.