  Recently, a quantum anomalous Hall (QAH) state was observed in AB stacked
moir\'e MoTe$_2$/WSe$_2$ heterobilayers at half-filling. More recent
layer-resolved magnetic circular dichroism (MCD) measurements revealed that
spin-polarized moir\'e bands from both the MoTe$_2$ and the WSe$_2$ layers are
involved at the formation of the QAH state. This scenario is not expected by
existing theories. In this work, we suggest that the observed QAH state is a
new state of matter, namely, a topological $p_x+ip_y$ inter-valley coherent
state (TIVC). We point out that the massive Dirac spectrum of the MoTe$_2$
moir\'e bands, together with the Hund's interaction and the Coulomb
interactions give rise to this novel QAH state. Through a self-consistent
Hartree-Fock analysis, we find a wide range of interaction strengths and
displacement fields that the $p_x+ip_y$-pairing phase is energetically
favourable. Besides explaining several key features of the experiments, our
theory predicts that the order parameter would involve the pairing of electrons
and holes with a definite momentum mismatch such that the pairing would
generate a new unit cell which is three times the size of the original moir\'e
unit cell, due to the order parameter modulations.
