Frequency combs based on terahertz quantum cascade lasers feature broadband coverage and high output powers in a compact package, making them an attractive option for broadband spectroscopy. Here, we demonstrate the first multi-heterodyne spectroscopy using two terahertz quantum cascade laser combs. With just 100 $mu$s of integration time, we achieve peak signal-to-noise ratios exceeding 60 dB and a spectral coverage greater than 250 GHz centered at 2.8 THz. Even with room-temperature detectors we are able to achieve peak signal-to-noise ratios of 50 dB, and as a proof-of-principle we use these combs to measure the broadband transmission spectrum of etalon samples. Finally, we show that with proper signal processing, it is possible to extend the multi-heterodyne spectroscopy to quantum cascade laser combs operating in pulsed mode, greatly expanding the range of quantum cascade lasers that could be suitable for these techniques.