Coffey attended Wentworth Military Academy where he was commissioned in the U.S. Army as a distinguished military graduate of the Reserve Officer Training Corps programme. He earned a bachelor of arts degree in Political Science from the University of Missouri-St. Louis, studied African politics at the University of the Western Cape in South Africa as a visiting undergraduate, and earned a master of science degree in European Union Politics from the London School of Economics.
Prior to British politics, Coffey served as a Captain in the US Army as part of the Southern European Task Force (AIRBORNE) based in Vicenza, Italy and deployed to Afghanistan as part of Operation Enduring Freedom in 2005.
Coffey began is work with the Conservative Party in 2006 in the office of Mark Harper MP. He also worked for Liam Fox when Fox was Shadow Secretary of State for Defence prior to the May 2010 UK general election.
In June 2010 it was wrongly reported in the Sunday Times that Coffey, as an American citizen, did not have the proper security clearance to undertake his role as Special Adviser to the British Defence Secretary. However, the Ministry of Defence has stated that Coffey has been subject to the necessary security vetting for him to undertake his role.