Harry Kane opened the scoring for the visitors before Konrad Laimer, Kingsley Coman and Joshua Kimmich scored before the hour mark to put the game to bed.
Bayern are now just two wins away from reclaiming the Bundesliga trophy with four games of the campaign still remaining after defending champions Bayer Leverkusen could only draw 1-1 at St Pauli.
What also impressed Kompany is that his team moved on quickly after being knocked out of the Champions League at the quarterfinals stage by Italian side Inter Milan in midweek.
"I know that everyone will say that it's normal for Bayern to win here," said Kompany before praising his team.
"But if you watch Heidenheim's last few games, especially the one against Leverkusen here, it wasn't easy for their opponents.
"It was a complete performance by the boys after a difficult week. Compliments to them."
Bayern can move another step closer to league title when they host Mainz on Saturday.
Bayern Munich legend Lothar Matthaus has advised his former club to sign defender Jonathan Tah, who has confirmed that he will leave Bayer Leverkusen when his contract expires at the end of the season.
Fiorentina have reportedly intensified their pursuit of Bayern Munich icon Thomas Muller, while Bayern are actively looking to part ways with defender Sacha Boey, with Galatasaray circling for a potential return.
Harry Kane was on the scoresheet yet again as Bayern Munich made short work of Heidenheim on their seemingly unstoppable march to the Bundesliga title.
South Korean defender Kim Min-jae could be set for a dramatic departure from Bayern Munich in the summer of 2025, with multiple elite clubs actively monitoring his situation, according to recent reports.
