Open-set supervised anomaly detection (OSAD) - a recently emerging anomaly detection area - aims at utilizing a few samples of anomaly classes seen during training to detect unseen anomalies (i.e., samples from open-set anomaly classes), while effectively identifying the seen anomalies. Benefiting from the prior knowledge illustrated by the seen anomalies, current OSAD methods can often largely reduce false positive errors. However, these methods are trained in a closed-set setting and treat the anomaly examples as from a homogeneous distribution, rendering them less effective in generalizing to unseen anomalies that can be drawn from any distribution. This paper proposes to learn heterogeneous anomaly distributions using the limited anomaly examples to address this issue. To this end, we introduce a novel approach, namely Anomaly Heterogeneity Learning (AHL), that simulates a diverse set of heterogeneous anomaly distributions and then utilizes them to learn a unified heterogeneous abnormality model in surrogate open-set environments. Further, AHL is a generic framework that existing OSAD models can plug and play for enhancing their abnormality modeling. Extensive experiments on nine real-world anomaly detection datasets show that AHL can 1) substantially enhance different state-of-the-art OSAD models in detecting seen and unseen anomalies, and 2) effectively generalize to unseen anomalies in new domains. Code is available at https://github.com/mala-lab/AHL.