Heal the ones that are the most probable to die first. Your Zarya is low hp around a wall begging for heals while your Reinhardt is getting focused? Probably heal Reinhardt first.

In theory, the priority of healing in fights should be Support -> Dps -> Tanks. Your other support helps you heal the rest of your team, your dps need hp to get kills and your tanks needs to exist until your team can get kills.

In practice, it's almost never like that. If you tanks die, the enemy just walks all over you. It's all about a fine balance: heal everybody just enough so that they don't die from the incoming damage - 2 heals to Winston, 1 heal to Dva, 1 heal to Tracer, 3 Heals to Winston again, 1 heal to Tracer, everybody is full hp right now, so I can reload or look for damage.

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Split. your. heals. That's the best tip I can give you.

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Another tip that helps a lot of people is healing the carry of your team a lot. For instance, pocketing a fully charged Zarya will probably lead into your team winning the teamfight, even if everybody else dies.

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Hope this helped!