We present the self-aligned fabrication of on-chip devices in which waveguides, incorporating integrated photoconductive switches, are combined with two-dimensional electron systems to allow probing of the ultrafast (terahertz frequency range) properties of confined semiconductor systems, both at cryogenic temperatures and in high magnetic fields. We demonstrate the direct injection of on-chip terahertz pulses into the mesoscopic system by femtosecond, near infra-red laser excitation of in-plane photoconductive switches formed on an epitaxially grown, low-temperature GaAs layer, which is integrated monolithically with a GaAs∕AlGaAs heterostructure containing a two-dimensional electron system. Both the input and output terahertz signals of an on-chip waveguide are sampled by altering dynamically the photoconductive excitation∕detection arrangement in situ on a single device. We also demonstrate a new method for sub-Kelvin excitation and detection of on-chip terahertz frequency radiation in a (3)He∕(4)He dilution refrigerator that allows the photocurrent and detected terahertz transient to be mapped as function of the near-infrared excitation position at the emitter and the detector, respectively. Furthermore, we demonstrate transmission of terahertz transients through a two-dimensional electron system in a coplanar waveguide under magnetic field at temperatures as low as 200 mK.