Multi-agent trajectory prediction in autonomous driving requires a comprehensive understanding of complex social dynamics. Existing methods, however, often struggle to capture the full richness of these dynamics, particularly the co-existence of multi-scale interactions and the diverse behaviors of heterogeneous agents. To address these challenges, this paper introduces HeLoFusion, an efficient and scalable encoder for modeling heterogeneous and multi-scale agent interactions. Instead of relying on global context, HeLoFusion constructs local, multi-scale graphs centered on each agent, allowing it to effectively model both direct pairwise dependencies and complex group-wise interactions (\textit{e.g.}, platooning vehicles or pedestrian crowds). Furthermore, HeLoFusion tackles the critical challenge of agent heterogeneity through an aggregation-decomposition message-passing scheme and type-specific feature networks, enabling it to learn nuanced, type-dependent interaction patterns. This locality-focused approach enables a principled representation of multi-level social context, yielding powerful and expressive agent embeddings. On the challenging Waymo Open Motion Dataset, HeLoFusion achieves state-of-the-art performance, setting new benchmarks for key metrics including Soft mAP and minADE. Our work demonstrates that a locality-grounded architecture, which explicitly models multi-scale and heterogeneous interactions, is a highly effective strategy for advancing motion forecasting.