Hybrid　precoding　has　emerged　as　a　promising　technique　to　reduce　the　hardware　cost　and　complexity　in　millimeter　wave　(mmWave)　massive　multiple-input　multiple-output　(MIMO)　systems.　However,　due　to　the　drastic　increase　in　the　number　of　user　devices　and　higher　data　rate　demand,　new　frequency　bands　(i.e.,　terahertz　(THz)　communications)　are　needed　to　explore.　At　THz　frequencies,　the　precoding　technique　can　provide　a　large　beamforming　gain,　but　still,　the　blockage　and　high　path-loss　remain　a　significant　problem.　To　overcome　the　blockage　problem,　in　this　paper,　we　introduce　the　two-way　relay　design　where　the　well-known　two-way　amplify-and-forward　(AF)　relay　in　THz-MIMO　orthogonal　frequency-division　multiplexing　(OFDM)　systems　is　employed.　The　optimal　two-way　relay　hybrid　precoding　problem　is　non-convex　due　to　the　practical　hardware　constraints　(i.e.,　unit-modulus　and　block-diagonal　constraints).　To　solve　this　problem,　we　first　propose　to　use　mathematical　manipulations　to　remove　the　block-diagonal　constraints　from　its　analog　part　and　then　reformulate　the　original　two-way　relay　hybrid　precoding　problem　into　a　quadratic-convex　problem　with　only　power　constraint.　Finally,　we　obtain　the　closed-form　solution　for　the　two-way　relay　hybrid　precoding　problem.　Simulation　results　reveal　that　our　proposed　solution　can　achieve　better　sum-rate　and　energy　efficiency　than　existing　hybrid　schemes.