Continued development in the areas of communication, security, medicine, and safety is calling for terahertz‐wave technologies to evolve beyond laboratory research and into the realm of real‐world applications. Due to the compatibility of waveguides with on‐chip fabrication techniques and their ability to realize a small footprint, such structures provide a unique opportunity to achieve terahertz radiation generation in an on‐chip arrangement, ideal for practical applications requiring terahertz electric fields. This review considers waveguiding arrangements that produce terahertz radiation using the nonlinear frequency‐conversion techniques of optical rectification and difference frequency generation. The investigated terahertz radiation waveguiding sources are categorized into three different classes: those that confine and guide both the excitation electric fields and the generated terahertz radiation, those that confine and guide the excitation electric fields but not the generated terahertz radiation, and those that confine and guide the generated terahertz radiation but not the excitation electric fields. Various types of waveguides are surveyed from each category, including dielectric waveguides, metallic waveguides, photonic crystal waveguides, poled waveguides, and multiple waveguides embedded within one another. This review provides a detailed overview of state‐of‐the‐art terahertz radiation waveguide sources, with the intent of aiding in the continuing development of such sources.