The study of interdependent networks has become a new research focus in recent years. We focus on one fundamental property of interdependent networks: vulnerability. Previous studies mainly focused on the impact of topological properties upon interdependent networks under random attacks, the effect of degree heterogeneity on structural vulnerability of interdependent networks under intentional attacks, however, is still unexplored. In order to deeply understand the role of degree distribution and in particular degree heterogeneity, we construct an interdependent system model which consists of two networks whose extent of degree heterogeneity can be controlled simultaneously by a tuning parameter. Meanwhile, a new quantity, which can better measure the performance of interdependent networks after attack, is proposed. Numerical simulation results demonstrate that degree heterogeneity can significantly increase the vulnerability of both single and interdependent networks. Moreover, it is found that interdependent links between two networks make the entire system much more fragile to attacks. Enhancing coupling strength between networks can greatly increase the fragility of both networks against targeted attacks, which is most evident under the case of max-max assortative coupling. Current results can help to deepen the understanding of structural complexity of complex real-world systems.