Compact and room-temperature operable terahertz emitting devices have been proposed using a semiconductor coupled multilayer cavity that consists of two functional cavity layers and three distributed Bragg reflector (DBR) multilayers. Two cavity modes with an optical frequency difference in the terahertz region are realized since two cavities are coupled by the intermediate DBR multilayer. In the proposed device, one cavity is used as the active layer for two-color lasing in the near-infrared region by current injection and the other is used as the second-order nonlinear optical medium for difference-frequency generation of the two-color fundamental laser light. The control of the nonlinear polarization by face-to-face bonding of two epitaxial wafers with different orientations is quite effective to achieve bright terahertz emission from the coupled cavity. In this study, two-color emission by optical excitation was measured for the wafer-bonded GaAs/AlGaAs coupled multilayer cavity containing self-assembled InAs quantum dots (QDs). We found that optical loss at the bonding interface strongly affects the two-color emission characteristics when the bonding was performed in the middle of the intermediate DBR multilayer. The effect was almost eliminated when the bonding position was carefully chosen by considering electric field distributions of the two modes. We also fabricated the current-injection type devices using the wafer-bonded coupled multilayer cavities. An assemble of self-assembled QDs is considered to be desirable as the optical gain medium because of the discrete nature of the electronic states and the relatively wide gain spectrum due to the inhomogeneous size distribution. The gain was, however, insufficient for two-color lasing even when the nine QD layers were used. Substituting two types of InGaAs multiple quantum wells (MQWs) for the QDs, we were able to demonstrate two-color lasing of the device when the gain peaks of MQWs were tuned to the cavity modes by lowering the operating temperature.