In this paper, we consider the containment control problem for a group of autonomous agents modelled by heterogeneous dynamics. The communication networks among the leaders and the followers are directed graphs. When the leaders are first-order integrator agents, we present a linear protocol for heterogeneous multi-agent systems such that the second-order integrator agents converge to the convex hull spanned by the first-order integrator agents if and only if the directed graph contains a directed spanning forest. If the leaders are second-order integrator agents, we propose a nonlinear protocol and obtain a necessary and sufficient condition that the heterogeneous multi-agent system solves the containment control problem in finite time. Simulation examples are also provided to illustrate the effectiveness of the theoretical results.