Van der Waals (vdW) heterostructure can improve the performance of the 2D materials and provide more applications. Based on density functional theory (DFT) calculations, the properties of vertical heterostructures formed by transition metal dichalcogenides (TMDs) MX (M = Mo, W; X = S, Se) and boron nitride (BP) were addressed. In particular, the vdW interaction exist in all these heterostructures instead of covalent bonding. The MoSe/BP and WSe/BP vdW heterostructures possess direct bandgap characterized by type-II band alignment and powerful built-in electric field across the interface, which can effectively separate the photogenerated-charge. Meanwhile, the MoS/BP and WS/BP vdW heterostructures also have the direct bandgap and intrinsic type-I band alignment. Furthermore, all heterostructures exhibit excellent optical absorption in the visible and near-infrared regions. Our investigation shows an effective method to design new vdW heterostructures based on TMDs and explores their applications for photocatalytic, photovoltaic, and optical devices.