For protecting users' private data, local differential privacy (LDP) has been leveraged to provide the privacy-preserving range query, thus supporting further statistical analysis. However, existing LDP-based range query approaches are limited by their properties, i.e., collecting user data according to a pre-defined structure. These static frameworks would incur excessive noise added to the aggregated data especially in the low privacy budget setting. In this work, we propose an Adaptive Hierarchical Decomposition (AHEAD) protocol, which adaptively and dynamically controls the built tree structure, so that the injected noise is well controlled for maintaining high utility. Furthermore, we derive a guideline for properly choosing parameters for AHEAD so that the overall utility can be consistently competitive while rigorously satisfying LDP. Leveraging multiple real and synthetic datasets, we extensively show the effectiveness of AHEAD in both low and high dimensional range query scenarios, as well as its advantages over the state-of-the-art methods. In addition, we provide a series of useful observations for deploying AHEAD in practice.