Self-dual maximum distance separable codes (self-dual MDS codes) and self-dual near MDS codes are very important in coding theory and practice. Thus, it is interesting to construct self-dual MDS or self-dual near MDS codes. In this paper, we not only give check matrices of dual codes of twisted generalized Reed-Solomon codes (TGRS codes) but also present the efficient and necessary condition of self-dual TGRS codes. Moreover, we construct several classes of self-dual MDS or self-dual near MDS codes from TGRS codes.