Thirlby was born in New York City, New York, to an advertising executive mother and a contractor father. She was raised in Manhattan's East Village, attending school at Friends Seminary in the city's Gramercy neighborhood, where she graduated in a class of 57 students. She also attended French Woods Festival of the Performing Arts in upstate New York, and Usdan Center for the Creative and Performing Arts (the Long Island summer arts camp also attended by Natalie Portman and Mariah Carey). She took classes at the American Globe Theatre, and briefly at the Royal Academy of Dramatic Art in London where she completed a stage combat course with the British Academy of Stage and Screen Combat (BASSC). She is of Jewish descent.