We theoretically investigate the propagation of broadband single-cycle terahertz (THz) pulses through a medium with a nonlinear optical response. Our model takes into account non-paraxial effects, self-focusing and diffraction, as well as dispersion, in both the linear and nonlinear optical regimes. We investigate the contribution of non-instantaneous Kerr-type nonlinearity to the overall instantaneous and delayed Kerr effect at the THz frequencies. We show how increasing the nonlinear relaxation time and its dispersion modifies the THz pulse after the propagation through a transparent medium. We also discuss the effect of linear dispersion on self-action during the pulse propagation.