For the first time, we present the spectra of all three components of the refractive index and absorption coefficient of the KTiOAsO₄ (KTA) crystal measured by the means of terahertz time-domain spectroscopy in the range of 0.3–2.1 THz. The dispersion of the refractive index is approximated and presented in the form of the Sellmeier equation. We observe a large birefringence Δn_Z-X ≈ 0.76 and dichroism which is attributed to a strong absorption peak in the vicinity of ~1.23–1.25 THz for the Z-axis. However, the crystal can be considered as almost uniaxial due to a close value of n_X and n_Y as well as α_X ≈ α_Y in the region below 0.5 THz. Moreover, KTA crystals can satisfy the phase-matching condition in principal XZ-plane for THz emission on difference frequency generation mechanism. Therefore, the crystal could be considered as an efficient candidate for terahertz wave generator under intense laser pump.