Dhulia, who has his roots in the hills of Uttarakhand was born and raised in Allahabad, Uttar Pradesh, India, where his father was a judge at the Allahabad High Court and a secretary of the Students' Federation of India, student wing of the CPM, while his mother was a professor of Sanskrit. He is the youngest of three brothers, one later joined the Navy, while the other became a judge at the Uttarakhand High Court . He attended St. Joseph's College, Allahabad and Anglo Bengali Intermediate College, then Allahabad University where he majored in English, Economics and Modern History. During his studies here, he joined and became a member of the pro-Left Progressive Students' Organisation. After graduating in 1986 he took a master's degree in Theatre at the National School of Drama in New Delhi, completing the course in 1989.