Usually, the presence of multiple eigenstates (magnons and phonons) in a system makes it difficult to analyze the coupled excitation mechanism using conventional single-pulse terahertz (THz) spectroscopy. On the contrary, 2D THz spectroscopy reveals energy flows between these states, which facilitates the identification of the coupled dynamics. In this article, we provide a theoretical description of this advanced technique and an experimental demonstration of its performance in antiferromagnet CoF2. Here, 2D THz spectroscopy shows that the THz pulse induces energy transfer from the magnon mode to the Raman-active phonon mode via a nonlinear excitation pathway.