<?xml version="1.0"?>
<ownershipDocument>

    <schemaVersion>X0202</schemaVersion>

    <documentType>4</documentType>

    <periodOfReport>2005-08-10</periodOfReport>

    <notSubjectToSection16>0</notSubjectToSection16>

    <issuer>
        <issuerCik>0001320002</issuerCik>
        <issuerName>Heritage Financial Group</issuerName>
        <issuerTradingSymbol>HBOS</issuerTradingSymbol>
    </issuer>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001325804</rptOwnerCik>
            <rptOwnerName>Dorminey Leonard</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>C/O HERITAGE FINANCIAL GROUP</rptOwnerStreet1>
            <rptOwnerStreet2>310 WEST OGLETHORPE BOULEVARD</rptOwnerStreet2>
            <rptOwnerCity>ALBANY</rptOwnerCity>
            <rptOwnerState>GA</rptOwnerState>
            <rptOwnerZipCode>31701</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>1</isDirector>
            <isOfficer>1</isOfficer>
            <isTenPercentOwner>0</isTenPercentOwner>
            <isOther>0</isOther>
            <officerTitle>President and CEO</officerTitle>
        </reportingOwnerRelationship>
    </reportingOwner>

    <nonDerivativeTable>
        <nonDerivativeTransaction>
            <securityTitle>
                <value>Common Stock</value>
            </securityTitle>
            <transactionDate>
                <value>2005-08-10</value>
            </transactionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>J</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionTimeliness>
                <value></value>
            </transactionTimeliness>
            <transactionAmounts>
                <transactionShares>
                    <value>562</value>
                    <footnoteId id="F1"/>
                </transactionShares>
                <transactionPricePerShare>
                    <value>0</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>D</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>31376</value>
                    <footnoteId id="F2"/>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>I</value>
                </directOrIndirectOwnership>
                <natureOfOwnership>
                    <value>By Business Partner</value>
                </natureOfOwnership>
            </ownershipNature>
        </nonDerivativeTransaction>
    </nonDerivativeTable>

    <footnotes>
        <footnote id="F1">These shares are owned by former business affilate of the reporting person.  This business relationship terminated on August 10, 2005.  After that date, the reporting person no longer had a reportable beneficial interest in these shares.</footnote>
        <footnote id="F2">Includes 27 shares acquired on reinvestment of the Issuer's 401(k) plan under the dividend feature.  Reflects ESOP allocations that have occurred since the date of the reporting person's last ownership report.</footnote>
    </footnotes>

    <ownerSignature>
        <signatureName>/s/ Tammy Burdette, POA</signatureName>
        <signatureDate>2006-03-30</signatureDate>
    </ownerSignature>
</ownershipDocument>
