Sheridan was born in Chapel Hill, North Carolina. Several news articles have reported that he grew up on a ranch in Cranfills Gap, Texas, but he was raised in Fort Worth, Texas, the son of a cardiologist. His cowboy identity comes from his mother, who was originally from Waco and loved visiting her grandparents' ranch in that area. When Sheridan was eight years old, his mother insisted on buying a ranch in Cranfills Gap so that her children would "learn firsthand about the peaceful feeling of freedom in nature". Sheridan learned how to be a cowboy during his family's frequent visits to the Cranfills Gap ranch when he was growing up in the late 1980s. Meanwhile, he attended and graduated from R. L. Paschal High School, where he was "the rare weekend wrangler who was also a theater kid".
After Sheridan dropped out of Texas State University, he moved to Austin, where he mowed lawns and painted houses. While looking for jobs in a shopping mall, Sheridan met a talent scout, who offered him the chance to go to Chicago and pursue an acting career. He later lived in New York City and Los Angeles during his time as an actor.