Van Warmerdam was born in Haarlem, a city in the province of North Holland in the Netherlands. He was cofounder of the theatre group Hauser Orkater (which later became the musictheatre group Hauser Orkater). In 1980 he founded the theatre group De Mexicaanse Hond (The Mexican Dog), together with his brother Marc van Warmerdam. This is the name under which all the shows since 1989 have been released.
He made his first feature film in 1986: Abel. He plays parts in most of his own movies, mostly performing as a lead character.
Alex van Warmerdam is married to Dutch actress Annet Malherbe, who also plays parts in most of his films. Their son Mees is a musician and has performed in various shows by theatre group De Mexicaanse Hond.