As a kind of special beams, Bessel beams are always a research hot spot in optics due to its non-diffractive and self-healing properties. Here, zero-order terahertz (THz) Bessel beams with linear and circular polarizations are generated by using a THz quarter wave plate and Teflon axicons with different opening angles. By applying a THz digital holographic imaging system, the evolutions of the transverse (E
x, E
y) and longitudinal (E
z) electric fields are coherently measured and analyzed during the propagation processes of the THz Bessel beams. The vectorial Rayleigh diffraction integral is used to accurately reproduce the amplitude, phase, and non-diffractive feature of each polarization component for the THz Bessel beams. With varying opening angles of the axicons, the focal spots, diffraction-free ranges, and Gouy phase shifts of the THz Bessel beams are compared and discussed. The experiment and simulation results provide a comprehensive view for exactly understanding peculiar features of THz Bessel beams.