He performed on Broadway with Ingrid Bergman in "Captain Brassbound's Conversion" before going to Hollywood in 1975 with the national company of "Grease".
Cox went to private schools before attending Yale and majoring in both drama and anthropology.
The only child of Gabe Zuckerman and Roseanna Cox, who both began as professional dancers. His father left show business to become a real estate agent. His mother, a psychotherapist, still performs every summer in Peterboro, N.H. He appeared on stage there with her at age 8.