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This paper investigates the data-driven consensus tracking problem for heterogeneous multi-agent systems. All of the heterogeneous dynamics, disturbances and measurement noises are considered for the output tracking consensus of nonlinear multi-agent network under a data-driven scheme. A dynamic linearisation method is introduced to deal with the nonlinear nonaffine structures of the agents and a heterogeneous linear data model for the agent is obtained due to the heterogeneous dynamics of the agent itself. On this basis, a distributed model-free adaptive predictive control (DMFAPC) algorithm is constructed by the use of consensus errors and the robustness analysis is conducted in the presence of disturbances. Further, the results are modified by using measured outputs to replace the system outputs, and thus a measured output-based DMFAPC is presented to deal with the omnipresent measurement noises in practical applications. The two proposed DMFAPC methods are data driven since no mechanistic model information is required wherein. And thus, no unmodelled dynamics affects the consensus performance. Instead, they can improve the control performance by utilising additional predictive information. The two proposed DMFAPC methods are verified using numerical simulations. [ABSTRACT FROM AUTHOR]