Based on a research hotspot in field of terahertz (THz) wave imaging—THz wave ghost imaging, we first reviewed the development history of ghost imaging: from quantum to classical and then to computational. Second, the mathematical principles of the computational ghost imaging were described in details. Then, we reviewed the development history of computational ghost imaging within THz regime, and its applications including sub-diffraction imaging, photoconductivity mapping of graphene, and hyperspectral THz imaging. At last, we looked towards the prospects of THz wave ghost imaging: as an imaging scheme, ghost imaging avoids the problem that economic and efficient focal-plane-array detectors within THz regime are lacking, whose present frame rates, however, are too slow to meet the requirement for fast imaging. With the improvement of devices’ performance and the optimization of imaging algorithms, we believe that the frame rate of THz wave computational ghost imaging can be significantly enhanced in the future.