Mechanical and physical properties of metallic glasses and crystalline solids not only depend on the elemental composition but also on their microstructures. Although metallic glasses show outstanding properties compared to crystalline alloys such as very high yield strength and high elastic energy absorption, in tension they show hardly any plastic deformation at room temperature. A promising approach to overcome this limitation is to introduce tailored structural inhomogeneities. Improving ductility of metallic glasses through the targeted introduction of heterogeneities has been the subject of considerable research efforts for many years. Inhomogeneities can be introduced by increasing the excess free volume of the material, bringing it to a higher enthalpy level through severe plastic deformation processes such as High Pressure Torsion. In addition, the introduction of a crystalline phase yields metallic glass composites that can have unique properties as they can combine benefits from crystalline and amorphous materials. In the CuZr-based metallic glass system, used in the present work, the holy grail are considered to be the metallic glass composites containing a B2 phase, which exhibits deformation-induced ductility (work-hardening behavior). Although different approaches for obtaining metallic glass composites have been described, there is a lack of systematic investigations. Therefore, the aim of the present work was a systematic multiscale structural investigation of well-defined metallic glass composites using advanced electron microscopic methods. Initial phase investigation was carried out using X-ray diffraction. Microstructural and compositional investigations were carried out using a scanning electron microscope equipped with an X-ray energy dispersive spectrometer and a four-quadrant backscatter detector. Finally, for more detailed investigations a transmission electron microscope was used. To assess the mechanical properties and draw a structure-property relationship Vickers hardness measurements were used. As a starting point fully amorphous bulk metallic glass specimens were used. The alloy Cu46Zr46Al8 (at. %) was chosen as it shows a good glass forming ability, has good mechanical properties and is widely studied. The first step involved the controlled introduction of different heterogeneities, including complex second phases, nanocrystals, chemistry and rejuvenation. To reach a wide range of tailored microstructures annealing treatments below the glass transition temperature, in the supercooled liquid region and above the crystallization temperature were studied. The results show that heat treatment in the supercooled liquid region allows to obtain metallic glass composites with a defined volume fraction of nanocrystals. The fully crystallized specimens revealed a complex microstructure with a multitude of intermetallic phases. The wide range of achievable microstructures is reflected by a wide range of hardness values, demonstrating that heat treatment of metallic glasses is a viable approach for tuning the mechanical property. To further improve the microstructure, high pressure torsion deformation of the crystallized specimens and of elemental powders was used. It was shown that heterogeneities on multiple length scales can be obtained that depend on the initial microstructure. The results also highlight the importance of using different electron microscopic methods on multiple length scales to establish a clear structure-property relationship of metallic glass composites. Combining heat treatment with severe plastic deformation results in rejuvenated amorphous shear bands with soft crystalline phases making it a promising approach towards improved ductility.