Terrio was raised in a Catholic family in Staten Island. He is of Italian, Irish, and Acadian descent. He graduated in 1997 from Harvard University, where he studied English literature and German phenomenology, lived in Adams House, and participated in the Harvard Radcliffe Dramatic Club and the Hasty Pudding Theatricals. Terrio attended University of Cambridge for his MLitt, but eventually decided to enroll in film school. He received his master's degree from the USC School of Cinematic Arts in 2002.