Conrad, the youngest of three boys, is the son of James Watson Conrad, an Engineer, and Margaret Clement Conrad, a librarian. He is the great-grandson of electrical Engineer Frank Conrad, great-nephew of Martin Withington Clement, who was President of the Pennsylvania Railroad 1935-1948, and great-nephew of Maj.General Charles M. Clement, commander of the 28th Division. He is a native of Swissvale, Pennsylvania, and grew up on the border of Edgewood, both suburbs of Pittsburgh. In the early 1980s, he transferred as a sophomore from Swissvale High School to The Kiski School, an all-boys preparatory school in Saltsburg, Pennsylvania, on a scholarship. Conrad graduated from The Kiski School in 1985. He studied history at Brown University, and began acting while he was there. He left Brown in 1990 and worked as a carpenter, a barista, a housepainter, and interviewed former steelworkers for a historical society in Pittsburgh.