Quasi-optical confocal cylindrical waveguide possesses a lot of good characteristics, such as big power capacity and low mode density, which can suppress the mode competition in beam-wave interaction. So quasi-optical waveguide has a great advantage in designing high harmonic terahertz gyrotrons. For the reason that part of electron beams located in a region of weak field intensity play a limited role in beam-wave interactions, the beam-wave interaction is not efficient in confocal cavity. Motivated by enhancing the beam-wave interaction efficiency of quasi-optical gyrotron, we propose a novel terahertz harmonic gyrotron cavity with double confocal waveguide in this paper. The transverse field distribution and the mode spectrum in double confocal waveguide are analyzed and presented. A 330 GHz second harmonic gyrotron with double confocal cavity is designed, theoretically analyzed and simulated by using a particle-in-cell (PIC) code. The results obtained for double confocal cavity are compared with the results for single confocal cavity, and the physical mechanism of beam-wave interaction enhancement in double confocal cavity is discussed. Theoretical results show that the double confocal cavity is able to increase the coupling strength of beam-wave interaction, thus, to improve the output power and the interaction efficiency of quasi-optical gyrotron. The PIC simulation results suggest that a high-order waveguide mode in double confocal cavity can steadily interact with the high harmonic cyclotron mode of electron beam without mode competition. Driven by a 40 kV, 2 A electron beam with a guiding center radius of 1.65 mm and velocity ratio equal to 1.5, output power of 9.9 kW at 328.93 GHz can be generated in the designed double confocal cavity. The beam-wave interaction efficiency increases from 5.3% in single confocal cavity to 12.4% in dual confocal cavity under the same operation parameters. The double confocal cavity has great potential applications in terahertz band. Moreover, this study indicates that the eigen mode in double confocal waveguide is a kind of hybrid mode superimposed by two independent single confocal waveguide modes. This mode characteristic will be beneficial to designing a multifrequency gyrotron oscillator operated in two modes and two cyclotron harmonics, simultaneously, with a single electron beam used, which provides a new possibility to develop the novel terahertz radiation source.