Efficient interfacial light–electric interconversion in van der Waals heterostructures is critical for their optoelectronic applications. Using time-resolved terahertz spectroscopy and transient absorption spectroscopy, the charge transfer and the dynamical interlayer excitons were investigated in the heterostructures comprising monolayer WSe₂ and monolayer graphene with varying stacking order on a sapphire substrate. Herein, a more comprehensive understanding of ultrafast charge transfer and exciton dynamics in two-dimensional heterostructures is shown. Owing to the effective electric field induced by the sapphire substrate, the WSe₂/graphene heterostructure exhibits positive terahertz photoconductivity after photoexcitation, while negative terahertz photoconductivity is observed in the graphene/WSe₂ heterostructure. The transient absorption spectra indicate that the exciton lifetimes also exhibit a considerable difference, where WSe₂/graphene exhibits the longest exciton lifetime, followed by monolayer WSe₂, while graphene/WSe₂ exhibits the shortest lifetime. These observations provide a new idea for using van der Waals heterostructures in electronic and photonic devices.