In recent years, terahertz photonics of gases (such as air plasma) has developed rapidly, but there are relatively few research reports on the generation of terahertz waves by liquids, especially liquid water, which exhibits significant absorption performance in the terahertz frequency range, leading researchers to believe that liquids cannot be sources of terahertz waves. Recently, experiments have confirmed that broadband terahertz waves can be generated by exciting liquids with femtosecond lasers, and liquids have unique characteristics as terahertz wave radiation sources. The density of liquids is close to that of solids, and they perform excellently in interactions with laser pulses, with effects far exceeding those of gas sources. The fluidity of gases and liquids ensures that each laser pulse can interact with a new target area, greatly avoiding damage or degradation of the medium, a function that is difficult to achieve with solid materials. It is these unique characteristics that make gases and liquids show great potential in the research of high-energy-density plasmas and the development of next-generation terahertz wave sources. This article reviews the research progress of gases and liquids as broadband terahertz sources and compares various methods of generating terahertz waves using gases and liquids. Terahertz gas and liquid photonics reveal the potential for developing new types of terahertz wave sources and open up new research directions for studying the interactions between lasers and liquids.