As Marco said, there's no direct train. Options via rail (vs coach) involve at least one change. See the National Rail journey planner online to explore your options: https://ojp.nationalrail.co.uk/service/planjourney/search
You can take the Tube (Underground) from Heathrow to Kings Cross/St. Pancras Underground Station, then make your way to the Kings Cross Rail Station, where you catch a train to Cambridge. That's apparently the most direct option involving rail.
Edited to add: From a quick look at the National Express (coach) website, the direct coach strikes me as the preferred mode. Especially if I'm just off a long flight. Just board the coach (they stow the luggage below), sit down, and ride directly to Cambridge.
(Apologies if you know this, but "coach" is the UK term for an intercity (or over-the-road) bus. "Bus" is the vehicle running routes around town. I had that distinction somewhat hammered into my head long ago on a tour of Australia with a Brit-born tour guide, lol.)