Proteins play a key role in living organisms. The study of proteins and their dynamics provides information about their functionality, catalysis and potential alterations towards pathological diseases. Several techniques are used for studying protein dynamics, e.g., magnetic resonance, fluorescence imaging techniques, mid-infrared spectroscopy and biochemical assays. Spectroscopic analysis, based on the use of terahertz (THz) radiation with frequencies between 0.1 and 15 THz (3–500 cm−1), was underestimated by the biochemical community. In recent years, however, the potential of THz spectroscopy in the analysis of both simple structures, such as polypeptide molecules, and complex structures, such as protein complexes, has been demonstrated. The THz absorption spectrum provides some information on proteins: for small molecules the THz spectrum is dominated by individual modes related to the presence of hydrogen bonds. For peptides, the spectral information concerns their secondary structure, while for complex proteins such as globular proteins and viral glycoproteins, spectra also provide information on collective modes. In this short review, we discuss the results obtained by THz spectroscopy in the protein dynamics investigations. In particular, we will illustrate advantages and applications of THz spectroscopy, pointing out the complementary information it may provide.