Following the recent progress in the development of Terahertz (THz) generation and detection, THz technology is being widely used to characterize test sample properties in various applications including nondestructive testing, security inspection and medical applications. In this paper, we have presented a broad review of the recent usage of artificial intelligence (AI) particularly, deep learning techniques in various THz sensing, imaging, and spectroscopic applications with emphasis on their implementation for medical imaging of cancerous cells. Initially, the fundamentals principles and techniques for THz generation and detection, imaging and spectroscopy are introduced. Subsequently, a brief overview of AI -machine learning and deep learning techniques is summarized, and their performance is compared. Further, the usage of deep learning algorithms in various THz applications is reported, with focus on metamaterials design and classification, detection, reconstruction, segmentation, parameter extraction and denoising tasks. Moreover, we also report the metrics used to evaluate the performance of deep learning models and finally, the existing research challenges in the application of deep learning in THz cancer imaging applications are identified and possible solutions are suggested through emerging trends. With the continuous increase of acquired THz data -sensing, spectral and imaging, artificial intelligence has emerged as a dominant paradigm for embedded data extraction, understanding, perception, decision making and analysis. Towards this end, the integration of state-of-the-art machine learning techniques such as deep learning with THz applications enable detailed computational and theoretical analysis for better validation and verification than modelling techniques that precede the era of machine learning. The study will facilitate the large-scale clinical applications of deep learning enabled THz imaging systems for the development of smart and connected next generation healthcare systems as well as provide a roadmap for future research direction.