Pegg was born in 1963 in Port Macquarie, New South Wales, Australia, and grew up in Woy Woy. He received his Bachelor's degree in 1987 from the University of Sydney, and his Master's (1993) and Ph.D. (1997) from Princeton University. He became a visiting professor at Washington University in 1998, was hired as an assistant professor in 1999 and was promoted to associate professor in 2004 and professor in 2009. In 2005, he was awarded an Andrew W. Mellon New Directions Fellowship; in 2009/2010, he received the Supplemental Award to the New Directions Fellowship. He has a wife, Margaret Garb, and a daughter, Eva Garb.