A Heshrax was an insect-like creature not native to Earth.
The First Doctor was searching for one in 1963 London, having detected its distress signal. However, he left from Totter's Yard on 22 November before he found it. The following day, the Fourth Doctor and K9 Mark II returned to Totter's Yard. They found the Heshrax and took it back in the TARDIS to its homeworld. (PROSE: Those Left Behind)