This dataset includes experimental and numerical data from the manuscript 'Multi-millijoule coherent terahertz bursts from picosecond laser-irradiated metal foils'. The experimental data are obtained in the experiment titled “Intense terahertz radiation from picosecond laser-produced plasmas” (App No.: 16110035, PI: David Neely), performed at TAW Vulcan from 8th May 2017 to 10th June 2017. The data are taken to demonstrate a terahertz (THz) pule energy as high as tens of millijoules (mJ) and identify the underlying THz generation mechanisms. Please see the file named “Data description” in the root directory of the attached zip file for a detailed description of the data contained therein. The acquisition and analysis methods of the data can also be found in the manuscript.STFC: Access time: experiment (App. No. 16110035) National Nature Science Foundation of China (Grants No. 11520101003, 11827807, and 11861121001) Strategic Priority Research Program of the Chinese Academy of Sciences (Grants No. XDB16010200 and XDB07030300) National Key Research and Development Program of China (Grant No. 2018YFA0404801) Newton UK grant National Postdoctoral Program for Innovative Talents (Grant No. BX201600106) EPSRC (Grant numbers EP/R006202/1 and EP/K022415/1)