Heterodoxy, as opposed to Orthodoxy, is the belief in something other (ετέρα δόξα) than the Orthodox Christian faith. In some senses, it is synonymous with heresy in that it is a departure from Orthodoxy, but it is distinct in that heresy by definition technically includes a specific choice to embrace and teach heterodox doctrine, usually accompanied by a formal anathema (condemnation) from a synod.
In the Roman Catholic tradition, heterodoxy is simply teaching which is considered questionable but not truly against the church. The Roman Catholics consider the Orthodox to be heterodox.
Heterodoxy may also be used to refer to all Christian confessions which are not the Orthodox Church.