For a graph $G$, we associate a family of real symmetric matrices, $S(G)$, where for any $A\in S(G)$, the location of the nonzero off-diagonal entries of $A$ are governed by the adjacency structure of $G$. Let $q(G)$ be the minimum number of distinct eigenvalues over all matrices in $S(G)$. In this work, we give a characterization of all connected threshold graphs $G$ with $q(G)=2$. Moreover, we study the values of $q(G)$ for connected threshold graphs with trace $2$, $3$, $n-2$, $n-3$, where $n$ is the order of threshold graph. The values of $q(G)$ are determined for all connected threshold graphs with $7$ and $8$ vertices with two exceptions. Finally, a sharp upper bound for $q(G)$ over all connected threshold graph $G$ is given.