Characterizing the optical and dielectric properties of thin films in the GHz to THz range is critical for the development of new technologies in integrated circuitry, photonics systems and micro-opto-electro-mechanical systems (MOEMS). Terahertz differential time-domain spectroscopy (DTDS) is a new technique that uses pulsed terahertz (THz) radiation to detect phase changes of less than 0.6 femtoseconds (fs) and absorption changes corresponding to several molecular monolayers. This paper shows how DTDS can be combined with double modulation in the pump-probe system to improve sensitivity by an order of magnitude. The technique is experimentally verified using 1 μm thick samples of silicon dioxide on silicon.