Microwave fabrication and design techniques are commonly employed in the terahertz (THz) domain. However, a characterization of commercially available microwave dielectric materials is usually lacking at sub-THz and THz frequencies. In this work, we characterized four substrates by Rogers and an Ordyl dry resist between 0.2 and 2 THz, in terms of relative permittivity and loss tangent. The reflectance spectra of the investigated materials were retrieved by means of THz time-domain spectroscopy in reflection mode and post-processed according to a transmission-line model in which the materials’ parameters are fit by means of the Havriliak–Negami variation of the Debye model. The relative permittivity of the investigated materials showed negligible frequency dispersion in the sub-THz and in the THz range. In terms of the loss tangent, the Rogers substrates revealed a more pronounced frequency-dispersive behavior among different materials, as dictated by the Havriliak–Negami model. The Ordyl resist was dispersive in the 0.2–1.2 THz range and presented a nearly constant loss tangent value between 1.2 and 2 THz. These results may represent a reference for the development of innovative components for THz and sub-THz emerging applications.