The enhanced transmission spectra of sub-wavelength Sierpinski fractal structure are presented by means of THz time domain spectroscopy (THz-TDS). It is found that there are several transmission peaks and forbidden band gaps with the frequency selectivity in the transmission spectra. The transmission peaks and forbidden band gaps increase with increase of the structure arrays. Further analysis reveals that the transmission enhancement is caused by a complicated waveguide coupling effect, that is, THz transmission enhanced in low frequency region mainly results from the waveguide coupling in low level square holes, while in high frequency region mainly results from the waveguide coupling in high level square holes.