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Heterogeneous information network embedding aims to convert the network into low dimensional vectors, which facilitates the following tasks. Thus it is receiving tremendous attention from the research community due to its effectiveness and efficiency. Although numerous methods have been present and applied successfully, there are few works to make a comparative study on heterogeneous information network embedding, which is very important for developers and researchers to select an appropriate method. To address the above problem, we make a comparative study on the heterogeneous information network embeddings. Specifically, we first give the problem definition of heterogeneous information network embedding. Then the heterogeneous information networks are classified into four categories from the perspective of network type. The state-of-the-art methods for each category are also compared and reviewed. 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