Gregg was born in Selma, Alabama, but lived most of his childhood in Henderson, Kentucky, which he considers his hometown. While attending Henderson County High School, he wrote plays, acted in school productions, co-founded a theater company that produced plays for children, came in second in a state-wide speech and drama competition for high school students, and played a lot of Dungeons and Dragons. After many years of dreaming of attending the University of Southern California School of Cinematic Arts, financial realities set in and lead him, instead, to Western Kentucky University. In his freshman year, he participated in numerous theatre productions and won the theatre and dance department's most prestigious award. Feeling unchallenged, he changed course after just one year of college and, in 1985, joined the Army, attending the Department of Defense Defense language Institute to study Persian-Farsi and graduating from Army Survival School. He was stationed with a Special Forces group as an Intelligence specialist. After four years, he was honorably discharged with enough resources to attend film school. He moved to Orlando, Florida and went to film school at Valencia Community College and the University of Central Florida. He worked as a set dresser and prop man on features and TV shows in Orlando and Los Angeles for 10 years before producing The Blair Witch Project, which established the "found footage" or "cinema scarité" as a popular film genre. As of 2013, he lives in Portland, Oregon.