Due to the relatively good penetration, low energy and broadband properties, terahertz waves have considerable application prospects in the fields of high-speed space communications, environmental monitoring, heterodyne detection, medical detection, non-destructive testing, and national defense security. As one of the core component of terahertz active and passive devices, terahertz waveguide is an indispensable part of the terahertz application system. The performance of the waveguide structure and functional devices determines the signal transmission efficiency of the terahertz system. The integrated terahertz waveguide has an important influence on the volume of the terahertz device. In recent years the development of terahertz waveguides has made great progress, from ordinary metal hollow waveguides to metal wire waveguides, dielectric optical fibers, and then to the recent artificial surface plasmon waveguides, graphene, lithium niobate and other new waveguides. These waveguide techniques demonstrate respective and exciting advantages. This review comprehensively introduces the latest developments in the field of terahertz waveguides, and prospects for its future applications.