Reilly was born on 2 July 1974 in Sydney, the second son of Ray (an employee at the Department of Corrective Services) and Denise, a mathematics teacher. He grew up with his brother Stephen in Willoughby, an affluent suburb on the lower North Shore of Sydney, New South Wales, Australia.
Reilly graduated from Sydney's St Aloysius' College in Milsons Point, in 1992. He then studied Law at the University of New South Wales between 1993 and 1997, graduating 31st out of 250 students. While at university he was also a contributor to the student law society publication "Poetic Justice".