Jeremy Davies was born in Traverse City, Michigan, of Scottish and Welsh descent, the son of children's author Melvin Lyle "Mel" Boring. Davies is Jeremy's mother's maiden name, which he adopted as his professional name. He has a brother, Joshua, and two half-siblings, Zachery and Katrina, from his father's second marriage.
His parents separated when he was young, leaving Davies to relocate to Kansas with his mother until the mid-1970s, when she died of lupus. He went to live with his father and his stepmother in Santa Barbara, California, before moving to Rockford, Iowa in 1986, where he completed high school. He attended college at the American Academy of Dramatic Arts in California