Is there any key like "Alt+/" in Eclipse when I'm writing SQL Query?

For example, if I type "s", and press some keys, it will tell me all the Object begin which "s" such as "SELECT","SET" or some databases/tables begin with "s".

Ah, you mean a completion proposal. Yes, HeidiSQL has such a thing. In a query editor, press Ctrl+Space to invoke it manually. Also when you type a dot - for example after a table alias - Heidi will propose you all column names in that table:

SELECT *
FROM mytable AS m
WHERE m.[!proposal opens]

Or all tables from a database:

SELECT *
FROM mydb[!proposal opens]

eh, forgot the dot in the second example:

SELECT *
FROM mydb.[!proposal opens]

BTW, there's a tiny exception to the auto-completion that's always bugging me:

SELECT mytable.x[proposal opens]
FROM mytable

SELECT foo.x[proposal opens]
FROM mytable foo

SELECT x[no proposal!]
FROM mytable

Not sure if there's a simple fix to this :-?