Ultra-broadband, intense, coherent terahertz (THz) radiation can be generated, detected, and manipulated using laser-induced gas or liquid plasma as both the THz wave transmitter and detector, with a frequency coverage spanning across and beyond the whole “THz gap.” Such a research topic is termed “plasma-based THz wave photonics in gas and liquid phases.” In this paper, we review the most important experimental and theoretical works of the topic in the non-relativistic region with pump laser intensity below 1018W/cm2.