Theroux was born in Washington, D.C. His mother, Phyllis Grissim Theroux, is an essayist and author and his father, Eugene Albert Theroux, is a lawyer at Baker & McKenzie in Washington. Theroux is the nephew of the travel writer and novelist Paul Theroux, novelist and poet Alexander Theroux, author Peter Theroux, and novelist and educator Joseph Theroux; he is the cousin of British journalists and documentary filmmakers Louis and Marcel Theroux. His father is of half French-Canadian and half Italian descent. Through his mother, Theroux is a great-great-grandson of financier, banker and railroad magnate H. B. Hollins, and of music critic and author Gustav Kobbé.
Theroux attended Lafayette Elementary School, Annunciation School, and the Field School. He first started acting while in high school at the Buxton School, in Williamstown, Massachusetts.
He graduated from Bennington College in 1993 with a B.A. in visual arts and drama.