Vanadium dioxide(VO2) is an archetypal strongly correlated-electron material. When the phase transition threshold is reached, there will be a reversible transition from the insulating monoclinic phase to the metallic rutile phase for VO2. The transition can be induced mainly by thermal, optical, electrical, magnetic field, and strain. The abrupt change of VO2 phase can occur in subpicosecond time scales, along with the significant change of optical reflectivity, refractive index, magnetic susceptibility, and other physical quantities. In particular, the resistivity of VO2 will change in three to five orders of magnitude before and after the phase change, which makes VO2 has great application prospects in the fields of intelligent energy-saving windows, photoelectric detection, photoelectric storage, optical switches, and other fields. This review first describes the phase transitions mechanism of VO2, which is driven by the electron correlation or the lattice structure alone or both. Then it focuses on employing ultrafast time-resolved techniques, particularly terahertz time-domain spectroscopy techniques, to study the phase transition dynamics process of VO2 thin films. Finally, the application research of terahertz modulators, terahertz filters, terahertz switches, and other devices based on VO2 thin films are introduced.