Security is critical for sensor networks deployed in hostile environments. Previous research on sensor network security mainly considers homogeneous sensor networks, i.e., all sensor nodes have the same capabilities. Many security schemes designed for homogeneous sensor networks suffer from high communication/computation overhead, and/or large storage requirement. We adopt a Heterogeneous Sensor Network (HSN) model to overcome these problems. In this paper, we present an efficient Asymmetric Pre-distribution (AP) key management scheme that takes advantage of the powerful high-end sensors (H-sensors) in an HSN. The AP scheme utilizes the large storage of H-sensors and pre-load each H-sensor with a relatively large number of keys. The AP scheme dramatically reduces the total storage space for key pre-distribution. The performance evaluation and security analysis show that the AP scheme provides better security than existing key management schemes, while achieving significant reduction on sensor storage.