Terahertz (THz) waves have many important characteristics, e.g., fingerprint spectrum, low energy and penetrability, thus show great potential and wide application value in many fields such as biomedical imaging, industrial nondestructive testing, cultural relics protection, security inspection and anti-terrorism. With the development of THz sources and detectors, the progress of THz imaging is also constantly advancing. THz confocal imaging realizes high axial resolution by removing stray light of the non-focus planes by point illumination and small aperture diaphragm. This imaging approach obtains object depth information layer-by-layer. In this paper, we illustrated a THz confocal scanning imaging system which three types of lenses are designed and used to verify its focal capability for imaging illumination, i.e., THz super-oscillating lens (TSOL), Fibonacci lens (FBL) and transmissive convex lenses (TCL). TSOL can produce long focal depth and subwavelength focused beam. FBL is a diffractive lens that produces multiple foci along the axial coordinate. TCL produces one focal point in far-field, which is the typical THz lens applied in various THz imaging systems. The implementation and calibration of three types of THz confocal imaging systems are introduced in detail, thereafter the corresponding results are shown and compared.