The complex systems in the real-world are commonly associated with multiple types of objects and relations, and heterogeneous graphs are ubiquitous data structures that can inherently represent multi-modal interactions between objects. Generating high-quality heterogeneous graphs allows us to understand the implicit distribution of heterogeneous graphs and provides benchmarks for downstream heterogeneous representation learning tasks. Existing works are limited to either merely generating the graph topology with neglecting local semantic information or only generating the graph without preserving the higher-order structural information and the global heterogeneous distribution in generated graphs. To this end, we formulate a general, end-to-end framework - HGEN for generating novel heterogeneous graphs with a newly proposed heterogeneous walk generator. On top of HGEN, we further develop a network motif generator to better characterize the higher-order structural distribution. A novel heterogeneous graph assembler is further developed to adaptively assemble novel heterogeneous graphs from the generated heterogeneous walks and motifs in a stratified manner. The extended model is proven to preserve the local semantic and heterogeneous global distribution of observed graphs with the theoretical guarantee. Lastly, comprehensive experiments on both synthetic and real-world practical datasets demonstrate the power and efficiency of the proposed method.