The Terahertz frequency range bears intriguing opportunities, beyond very advanced applications in spectroscopy and matter control. Peculiar quantum phenomena are predicted to lead to light emission by non-trivial mechanisms. Typically, such emission mechanisms are unraveled by temporal correlation measurements of photon arrival times, as demonstrated in their pioneering work by Hanbury Brown and Twiss. So far, the Terahertz range misses an experimental implementation of such technique with very good temporal properties and high sensitivity. In this paper, we propose a room-temperature scheme to measure photon correlations at THz frequencies based on electro-optic sampling. The temporal resolution of 146 fs is faster than one cycle of oscillation and the sensitivity is so far limited to ∼1500 photons. With this technique, we measure the photon statistics of a THz quantum cascade laser. The proposed measurement scheme allows, in principle, the measurement of ultrahigh bandwidth photons and paves the way towards THz quantum optics.