Thieffry was born in Etterbeek, a municipality of Brussels, and went on to study law in Leuven (hence his nickname "The Flying Judge"). After qualifying he was conscripted into the Belgian Army, joining the 10th Regiment in 1913. At the start of the First World War he saw service as a staff attaché to General Leman, but was captured by the Germans. He escaped on a stolen motorcycle to the neutral territory of the Netherlands, where he was arrested by Dutch military police. Using his legal knowledge and Dutch language skills he managed to talk his way out of internment, and travelled to Antwerp to rejoin the Belgian army.