Daldry was born in Dorset, England, the son of bank manager Patrick Daldry and singer Cherry (née Thompson). When Daldry was 14, his father died of cancer. He was educated at the University of Sheffield before taking an apprenticeship at the city's Crucible Theatre from 1985-1988. Whilst at the University of Sheffield, Daldry was Chairman of SuTCo (Sheffield University Theatre Company). He trained at East 15 Acting School, London.

Daldry began his career at the Sheffield Crucible with Artistic Director Clare Venables where he directed many productions. He also headed many productions at the Manchester Library Theatre, Liverpool Playhouse, Stratford East, Oxford Stage, Brighton and the Edinburgh Fringe Festival. He was also Artistic Director of the Royal Court Theatre from 1992-8, where he headed the £26 million development scheme. He was also Artistic Director of the Gate Theatre, London (1989–92) and the Metro Theatre Company (1984-6). He is currently on the Board of the Young and Old Vic Theatres and remains an Associate Director of the Royal Court Theatre. He was the Cameron Mackintosh Visiting Professor of Contemporary Theatre for 2002 at St Catherine's College, Oxford. He won awards on Broadway as well as the West End.

Daldry made his feature film directorial debut in 2000 with Billy Elliot. His next film was The Hours, and it won Best Actress at the Academy Awards for Nicole Kidman. Recently, he directed a stage musical adaptation of Billy Elliot, and in 2009 his work on Billy Elliot the Musical earned him a Tony Award for Best Director of a Musical. He has also done a film version of The Reader, based on the book of the same name and starring Kate Winslet, David Kross, and Ralph Fiennes. Again, it won Best Actress at the Academy Awards for Kate Winslet. He has received three Academy Award nominations for directing for all three of his films.

Daldry was planning to direct a film adaptation of Michael Chabon's Pulitzer Prize-winning novel The Amazing Adventures of Kavalier & Clay in 2005. In the ensuing three years, the project was cancelled and reinitiated several times, and in late 2006 was partially cast with Natalie Portman and Tobey Maguire. According to Chabon, production then stalled due to "studio-politics kinds of reasons that I'm not privy to," and as of April 2007 remains inactive. The director will soon be working on the broadway musical version of Dumbo, with Disney Theatricals. The musical is to début on Broadway in 2012.

Daldry, who describes himself as a gay man because people prefer it ("they don't like confusion"), was married in 2001 to performance artist Lucy Sexton with whom he has a daughter, Annabel Clare, born in 2003. He was previously in a relationship with set designer Ian MacNeil for 13 years.

John Dexter (1975) · Ellis Rabb (1976) · Mike Nichols / Alan Schneider (1977) · Melvin Bernhardt (1978) · Jack Hofsiss (1979) · Vivian Matalon (1980) · Peter Hall (1981) · Tommy Tune (1982) · Trevor Nunn (1983) · Michael Blakemore (1984) · John Malkovich (1985) · Jerry Zaks (1986) · Howard Davies (1987) · John Dexter (1988) · Jerry Zaks (1989) · Frank Galati (1990) · Jerry Zaks (1991) · Patrick Mason (1992) · George C. Wolfe (1993) · Stephen Daldry (1994) · Gerald Gutierrez (1995) · Gerald Gutierrez (1996) · Trevor Nunn (1999) · Michael Blakemore (2000) · Jack O'Brien (2001) · Mary Zimmerman (2002) · Robert Falls (2003) · Jack O'Brien (2004) · Doug Hughes (2005) · Nicholas Hytner (2006) · Jack O'Brien (2007) · Anna D. Shapiro (2008) · Matthew Warchus (2009) · Michael Grandage (2010)

Arthur Laurents (1975) · Michael Bennett (1976) · Martin Charnin (1977) · Peter Masterson / Tommy Tune / Stephen Schwartz (1978) · Harold Prince (1979) · Harold Prince (1980) · Wilford Leach (1981) · Tommy Tune (1982) · George Abbott (1983) · James Lapine (1984) · Wilford Leach (1986) · Mike Ockrent (1987) · Harold Prince (1988) · Tommy Tune (1990) · Scott Ellis (1991) · Jerry Zaks (1992) · Des McAnuff (1993) · Nicholas Hytner (1994) · Harold Prince (1995) · Christopher Renshaw (1996) · Walter Bobbie (1997) · Julie Taymor (1998) · Matthew Bourne (1999) · Michael Blakemore (2000) · Susan Stroman (2001) · Michael Mayer (2002) · Jack O'Brien (2003) · Joe Mantello (2004) · James Lapine (2005) · John Doyle (2006) · Michael Mayer (2007) · Bartlett Sher (2008) · Stephen Daldry (2009) · Michael Mayer (2010)

David Thacker (1991) · Deborah Warner (1992) · Stephen Daldry (1993) · Stephen Daldry (1994) · Declan Donnellan (1995)

Ellis Rabb (1976) · Gordon Davidson (1977) · Melvin Bernhardt (1978) · Jack Hofsiss (1979) · Vivian Matalon (1980) · Peter Hall (1981) · Trevor Nunn / John Caird (1982) · Gene Saks (1983) · Mike Nichols (1984) · Gene Saks (1985) · Jerry Zaks (1986) · Lloyd Richards (1987) · John Dexter (1988) · Jerry Zaks (1989) · Frank Galati (1990) · Jerry Zaks (1991) · Patrick Mason (1992) · George C. Wolfe (1993) · Stephen Daldry (1994) · Gerald Gutierrez (1995) · Gerald Gutierrez (1996) · Anthony Page (1997) · Garry Hynes (1998) · Robert Falls (1999) · Michael Blakemore (2000)

Complete list: (1947–1975) · (1976–2000) · (2001–present)