Attack vulnerability is one of the fundamental properties of complex interdependent networks, which has attracted a lot of research efforts in recent years. In this paper, we study the effect of degree heterogeneity on structural vulnerability of interdependent networks when they suffer targeted attacks. Firstly, we construct an interdependent system model composed of two network components. By adjusting a parameter, the extent of degree heterogeneity of each network can be controlled. Then, numerical simulations are implemented to demonstrate the impact of degree heterogeneity. The research results verify that the vulnerability of both single and interdependent networks can be affected by degree heterogeneity, that is, degree heterogeneity can significantly increase the vulnerability of these networks. Additionally, the existence of interdependent links between two networks makes both networks much more vulnerable against targeted attacks. In particular, when coupling preference is taken into account, it is found that compared with disassortative coupling and random coupling, assortative coupling can lead to a more fragile interdependent system. Our research results can give some help on the deep understanding of structural vulnerability of complex interdependent networks, and shed some light on the design of robust systems.