We give a brief review of the developments in terahertz time-domain spectroscopy (THz-TDS) systems and micro- cavity components for probing samples in the University of Shanghai for Science and Technology. The broadband terahertz (THz) radiation sources based on GaAs m-i-n diodes have been investigated by applying high electric fields. Then, the free space THz-TDS and fiber-coupled THz-TDS systems produced in our lab and their applications in drug/cancer detection are introduced in detail. To further improve the signal-to-noise ratio (SNR) and enhance sensitivity, we introduce three general micro-cavity approaches to achieve tiny-volume sample detection, summarizing our previous results about their characteristics, performance, and potential applications.