Grandage was born in Yorkshire, England, and raised in Penzance, Cornwall where his parents ran a family business. He was educated at the Humphry Davy Grammar School before training as an actor at the Royal Central School of Speech and Drama through 1984. He spent twelve years working as an actor for companies such as the Royal Exchange and the Royal Shakespeare Company and was also a member of National Youth Theatre before turning to directing. He made his directorial debut in 1996 with a production of Arthur Miller's The Last Yankee at the Mercury Theatre, Colchester. In 1998 he was invited by Sheffield Theatres to direct Twelfth Night, his first Shakespeare production. In the same year he made his London directorial debut at the Almeida Theatre with a production of Shaw's The Doctor's Dilemma. He lives in London and Cornwall with his partner, the award-winning British theatre designer Christopher Oram.