Thesiger was the third son of Lord Chancellor Frederic Thesiger, 1st Baron Chelmsford, by his wife Anna Maria (née Tinling). He played one first-class cricket match for the Marylebone Cricket Club in 1861.
In the summer of 1877 Thesiger, took on the Arbitration of Doctor Thomas Barnardo as his legal counsel at the behest of the Evangelical Lord Chancellor, Lord Cairns. (p.105 "Slumming" Seth Koven)
His sister, Julia (1833–1904) was married to Sir John Eardley Wilmot Inglis (1814–1862) who commanded the British forces during the Siege of Lucknow in 1857. She later wrote of her experiences during the siege including extracts from her diary.
Thesiger married Henrietta, daughter of the Hon. George Handcock, in 1862. They had no children. He died in October 1880, aged 42. He is buried in Brompton Cemetery, London. Henrietta Thesiger died in February 1921.
- "Player profile: Alfred Thesiger". CricketArchive. Retrieved 15 June 2014.
- "Hon. Julia Selina Thesiger". thepeerage.com. 13 February 2011. Retrieved 16 April 2011.
- Inglis, Julia Selina (1892). "The Siege of Lucknow: a Diary". A Celebration of Woman Writers. James R. Osgood, McIlvaine & Co.,. Retrieved 16 April 2011.
- This article incorporates text from a publication now in the public domain: Chisholm, Hugh, ed. (1911). Encyclopædia Britannica (11th ed.). Cambridge University Press.