Thermal diodes and switches are systems that enable us to control thermal transport, preferentially in one direction, and switch "on"/"off" on demand. The main challenges of existing thermal diodes and switches are poor steady-state performance, limited operation conditions, slow transient response, and/or extremely difficult manufacturing. In this study, adsorption-controlled and capillary-controlled thermal diodes and switches are examined by employing argon gas-filled heterogeneous nanostructures using molecular simulations. For the adsorption-controlled mechanism, asymmetric adsorption onto the heterogeneous nanogap with respect to the different temperature gradient direction results in the asymmetric gas pressure and thermal accommodation coefficients (TACs), giving a maximum degree of diode, Rmax ~ 7. For a thermal switch, Ar-filled nanogaps with two heterogeneous surfaces are designed to demonstrate a fast thermal switch mechanism without having extra mechanical controlling system with the maximum degree of thermal switch, Smax ~ 13. In order to achieve higher magnitudes of R and S, the adsorption and capillary transition on the heterogeneous nanostructures are elucidated using Ar-filled Pt-based nanogaps with one surface having nanoposts using Grand Canonical Monte Carlo Simulation (GCMC). The study shows that the nanoposts decrease capillary transition pressure at given temperature (or increase temperature at given pressure). The large thermal conductivity contrast between the controlled adsorption and capillary states using the structural and/or material heterogeneity is shown to allow for Rmax ~ 140 in a demonstrated thermal diode with operating temperatures -40 K < ?T < +40 K. It also leads to a new nanoscale thermal switch mechanism providing Smax ~ 45 and ~ 170 for ?T = 10 K and 60 K, respectively, for a nanogap size of 5 nm. These results provide new insights into the design of advanced thermal management systems such as thermal transistors, thermal logic gates, and computers.