Khan enrolled at Hansraj College (1985–88) to earn his bachelor's degree in Economics, but spent much of his time at Delhi's Theatre Action Group (TAG), where he studied acting under the mentorship of theatre director Barry John.
Khan masuk Kolese Hansraj (1985–88) untuk meraih gelar sarjana dalam bidang Ekonomi, namun lebih banyak menjalani waktunya di Theatre Action Group (TAG), Delhi, dimana ia belajar akting di bawah bimbingan pengarah teater Barry John.