Terahertz(THz) pulses can be generated by pumping photoconductive antennas, magnetic heterostructures, electro-optic crystals, and air, etc. with femtosecond lasers, which are mainly based on non-thermal effects such as transient changes in carriers and electric polarization under femtosecond excitation. Meanwhile, the laser heating effects inevitably occur during the interactions of femtosecond lasers with matter, and the ultrafast thermoelectric effects and the ultrafast spin caloritronics effects have gained increasing attention in recent years for the ability to generate terahertz waves. In this paper,the research progresses of THz emission induced by two ultrafast thermoelectric effects including the Seebeck effect and the Nernst effect, and two ultrafast spin caloritronics effects including the spin Seebeck effect and the anomalous Nernst effect, are introduced in detail. The ultrafast thermoelectric effects and the ultrafast spin caloritronics effects have exhibited great potential in terahertz generation, which could promote the development and the applications of THz sources and related technologies.