We experimentally studied the supercontinuum induced by femtosecond filamentation in different liquid media. Using a Mach–Zehnder interferometer, we determined the relative filamentation thresholds (Pth) of these media. Research has shown that the value of the filamentation threshold is greater than that of Pcr (critical power for self-focusing), which can mainly be attributed to the strong dispersion effect. Changing the focal length of the focusing lens affects filamentation dynamics, thereby affecting the measured results regarding the filamentation threshold. With shorter focal lengths, the linear focusing (i.e., geometrical focusing) regime dominates, and the measured values of Pth for different liquid media are almost the same; as the focal length becomes larger, self-focusing starts to play a role, making the values of Pth for different media different from each other. This study presents an efficient method for investigating the femtosecond filamentation phenomenon in liquid media, helpful to provide further insights into the physical mechanism of supercontinuum generation via femtosecond filamentation in liquid media.