Knepper was born in Los Angeles, California, the second son of a nurse and a police officer. His parents divorced shortly after his birth, and his mother had to take her abusive husband to court in order to get child support. He and his older brother, Robert, were sent to several boarding and military schools, Page Military Academy and St. John's Military Academy, while their mother worked. He picked up his first instrument, an alto horn, at the age of 6 while he was a pupil there. His first teacher persuaded him to put aside the alto and pick up the trombone because, as he said, he had a "trombone mouth". He played his first professional gigs in LA, and traveled to Spokane, WA at the age of 15. He graduated high school, and later attended classes at Los Angeles Community College.