We propose for the first time a kind of van der Waals (vdW) heterostructure composed of three distinct transition-metal dichalcogenide (TMD) monolayers, where step-like band alignment could be realized. In this case, excitons can be spatially separated into constituent top and bottom layers segregated by the middle layer. In light of the reduced binding energy and long lifetime of the interlayer excitons, trilayer TMD heterostructures hold great promise in applications such as solar cells and light-harvesting. In addition, heterostructures with different constituents and stacking orders give rise to distinct band offsets between neighboring layers. Other factors, like strain and SOC, also have apparent effects on the band offset. Our results reveal that 2H stacking can enhance valence band splitting, while 3R stacking has a significant influence on conduction band splitting. On account of the proper step-like band alignment and stacking-dependent band splitting, these trilayer TMD heterostructures also have great potential for applications in spintronics.