Lennon was born on August 9, 1970 in Oak Park, Illinois. Of Irish and Scottish descent, he is the son of Kathleen (née McSheehy) and Timothy Lennon. He graduated from Oak Park and River Forest High School in 1988.
At 16, he met friend and future co-star Kerri Kenney at theater camp at Northwestern University. The two later attended NYU, where they joined a comedy troupe called The New Group.