In this letter we show that the vortex lattice structure in the Bose-Fermi superfluid mixture can undergo a sequence of structure transitions when the Fermi superfluid is tuned from the BCS regime to the BEC regime. This is due to different vortex core structure of the Fermi superfluid in the BCS regime and in the BEC regime. In the former the vortex core is nearly filled, while the density at the vortex core gradually decreases until it empties out at the BEC regime. Therefore, with the density-density interaction between the Bose and the Fermi superfluids, the two sets of vortex lattices interact stronger in the BEC regime that yields the structure transition of vortex lattices. In view of recent realization of this superfluid mixture and vortices therein, our theoretical predication can be verified experimentally in near future.