In this paper, continuum multiscale models are proposed to describe the size-dependent mechanical properties of two kinds of heterogeneous nanostructures: radially-heterogeneous nanowires and longitudinally-heterogeneous nanolaminates. In both cases, the continuum models involve additional surface/interface energies which allow capturing size effects. Several models of imperfect interface models, like coherent and spring-layer ones, are shown to respectively capture the size effects which are reported by first-principle calculations performed on heterogeneous nanostructures. In each case, a procedure is proposed to identify the parameters of the surface/interface model in the continuum framework, based on first-principles calculations performed on slab systems. The obtained continuum models allow avoiding full computations on atomistic models which are not affordable for large sizes (diameters, layer thickness). An increase of the overall stiffness for both kinds of heterogeneous AlN/GaN nanostructures with the decrease of the dimensions is evidenced. The continuum models are then compared with full first principles calculations to demonstrate their accuracy and their ability to capture size effects.