Pichia pastoris has currently been developed as an effective host system for the expression of heterologous genes owing to its potential use for the production of soluble and high-yield proteins. However, the secretory production of the different heterologous proteins in P. pastoris varies widely. Some factors restrict the effective secretory production of heterologous proteins in P. pastoris, among which the folding and processing of proteins is a major one. Besides optimizing the fermentative process, current strategies focus on investigating protein folding process. Thus, this paper is the first time to review the improvement of the secretory production of the heterologous protein in P. pastoris by focusing on its folding process.