He read Modern History at Magdalen College, Oxford (1988–1991), graduating with first-class honours. He also performed in a number of school theatre productions including Bugsy Malone as Looney Bergonzi, Ritual for Dolls as the Army Officer, and The Splendour Falls as the Minstrel. There, he befriended comedians Adam Buxton and Joe Cornish, and future Liberal Democrat leader and Deputy Prime Minister Nick Clegg, with whom he travelled to America. He went from primary school to Tower House School in East Sheen in 1979 or 1980 and then to Westminster School, a public school within the precincts of Westminster Abbey. Theroux moved with his family to England when he was one year old, and was brought up in Catford, in London. His cousin, Justin, is an actor and screenwriter. His older brother, Marcel, is a writer and television presenter. He is the nephew of novelist Alexander Theroux and writer Peter Theroux.

Theroux holds dual British and American citizenship. His paternal grandmother, Anne Dittami, was an Italian-American grammar school teacher, while his paternal grandfather, Albert Eugène Theroux, was a French-Canadian salesman for the American Leather Oak company. Louis Sebastian Theroux was born in Singapore on, the son of English mother Anne (née Castle) and American travel writer and novelist Paul Theroux. 4.3 Royal Television Society Television Awards.