Considering that the vehicle routing problem (VRP) with many extended features is widely used in actual life, such as multi-depot, heterogeneous types of vehicles, customer service priority and time windows etc., a mathematical model for multi-depot heterogeneous vehicle routing problem with soft time windows (MDHVRPSTW) is established. An improved ant colony optimization (IACO) is proposed for solving this model. First, MDHVRPSTW is transferred into different groups according to the nearest principle, and then the initial route is constructed by the scanning algorithm (SA). Secondly, genetic operators are introduced, and crossover probability and mutation probability are adaptively adjusted in order to improve the global search ability of the algorithm. Moreover, the smooth mechanism is used to improve the performance of the ant colony optimization (ACO). Finally, the 3-opt strategy is used to improve the local search ability. The proposed IACO was tested on three new instances that were generated randomly. The experimental results show that IACO is superior to the other three existing algorithms in terms of convergence speed and solution quality. Thus, the proposed method is effective and feasible, and the proposed model is meaningful.