Né à Saratoga Springs, New York, il commençait déjà à s'intéresser au théâtre au lycée puis à l'Université de Yale, ou il se étudie l'anglais et le théâtre. Pierce eu une variété d'emplois comme garde de sécurité et vendeur de cravates dans la ville de New York avant de se concentrer uniquement sur le théâtre et les films en 1988. Born and raised in Saratoga Springs, New York, he is the youngest child of George and Laura Pierce and has two older sisters (Barbara and Nancy) and an older brother (Thomas). As a child he became very interested in the piano and frequently played lead organ at the local Bethesda Episcopal Church in Saratoga Springs. He began acting in high school, even receiving the Yaddo Medal for best Dramatic Arts student. However, his love of music was still strong so he decided to study classical piano at Yale University. Unfortunately, he soon grew bored with music history lessons and found that he wasn't dedicated enough to practice the required amount of hours to become a successful concert pianist. Instead, he returned to his love of drama and graduated in 1981 with a double major in English and Theatre Arts at Yale University. Pierce then moved to New York City where he worked several menial jobs (including selling ties at Bloomingdales and working as a security guard) while acting in the theater during the late 1980s and early 1990s. David currently resides in Los Angeles with his two Wheaton Terriers, Emma and Mabel, and remains very close to his three siblings.