 Day attended Pennfield School and graduated from the Portsmouth Abbey School, both in Portsmouth, Rhode Island.He attended Merrimack College in North Andover, Massachusetts, majoring in art history in 1998.In May 2014, Day gave the commencement speech for Merrimack College's graduating class and received an honorary Ph.D.

After graduating, Day worked on small television roles and doing voiceovers for the Independent Film Channel, and supplemented his income by waiting tables and answering phones for a telethon.