Researchers have recently proposed plenty of heterogeneous graph neural networks (HGNNs) due to the ubiquity of heterogeneous graphs in both academic and industrial areas. Instead of pursuing a more powerful HGNN model, in this paper, we are interested in devising a versatile plug-and-play module, which accounts for distilling relational knowledge from pre-trained HGNNs. To the best of our knowledge, we are the first to propose a HIgh-order RElational (HIRE) knowledge distillation framework on heterogeneous graphs, which can significantly boost the prediction performance regardless of model architectures of HGNNs. Concretely, our HIRE framework initially performs first-order node-level knowledge distillation, which encodes the semantics of the teacher HGNN with its prediction logits. Meanwhile, the second-order relation-level knowledge distillation imitates the relational correlation between node embeddings of different types generated by the teacher HGNN. Extensive experiments on various popular HGNNs models and three real-world heterogeneous graphs demonstrate that our method obtains consistent and considerable performance enhancement, proving its effectiveness and generalization ability.