Federated learning (FL) is experiencing a fast booming with the wave of distributed machine learning and ever-increasing privacy concerns. In the FL paradigm, global model aggregation is handled by a centralized aggregate server based on local updated gradients trained on local nodes, which mitigates privacy leakage caused by the collection of sensitive information. With the increased computing and communicating capabilities of edge and IoT devices, applying FL on heterogeneous devices to train machine learning models becomes a trend. The synchronous aggregation strategy in the classic FL paradigm cannot effectively use the resources, especially on heterogeneous devices, due to its waiting for straggler devices before aggregation in each training round. Furthermore, in real-world scenarios, the disparity of data dispersed on devices (i.e. data heterogeneity) downgrades the accuracy of models. As a result, many asynchronous FL (AFL) paradigms are presented in various application scenarios to improve efficiency, performance, privacy, and security. This survey comprehensively analyzes and summarizes existing variants of AFL according to a novel classification mechanism, including device heterogeneity, data heterogeneity, privacy and security on heterogeneous devices, and applications on heterogeneous devices. Finally, this survey reveals rising challenges and presents potentially promising research directions in this under-investigated field.