A method of multi-stage substrate etching and a terahertz oscillator manufactured by using the method are provided. The method comprises the steps of forming a first mask pattern on any one surface of a first substrate, forming a hole by etching the first substrate using the first mask pattern as an etching mask, bonding, to the first substrate, a second substrate having the same thickness as a depth to be etched, forming a second mask pattern on the second substrate bonded, forming a hole by etching the second substrate using the second mask pattern as an etching mask, and removing an oxide layer having the etching selectivity between the first substrate and the second substrate, whereby the etched bottom is made uniformly even in a deep step, the edge curvature is minimized, and a T-shape is prevented from being formed on the etched wall face to thereby improve the etching quality. Further, the etching depth is previously controlled by lapping or polishing, the upper and lower substrates are precisely boned to each other using the alignment key, and a multi-layer processing is possibly performed thereto, so that the precision and the uniformity in structure of the oscillator or amplifier is obtained.