Engineering a Terahertz (THz) frequency comb spectroscopy at atomic level advances the precisely measurement in spectroscopy and sensing. Current progresses on THz frequency comb rely on difference-frequency generation, optical parametric oscillation, and other methods. Generating a THz frequency comb poses challenges in source stability and achieving a narrow bandwidth, which traditional THz devices are difficult to achieve. Furthermore, accurately measuring the generated THz frequency comb necessitates a high-performance THz detector. Rydberg atoms are well-suited for electric field sensing due to their ultra-wide radio frequency transition energy levels, making them especially sensitive to external electric fields in the DC to THz bandwidth. However, there have been no reports about generating THz frequency comb spectroscopy at the atomic level until now. This work presents a THz frequency comb spectroscopy with Rydberg atoms, in which a Floquet comb-like transition is engineered through a time-periodic drive field. Our approach simplifies the setup required for THz frequency comb spectroscopy while extending the working bandwidth for Rydberg atomic sensors. The THz frequency comb spectroscopy at the atomic level reported in this article shows great potential for various applications in astronomy, remote sensing, spectral detection of biological samples, and other related fields.