Keogh was born on 24 November 1954 in Salisbury, Rhodesia (now Harare, Zimbabwe), the son of Gerald and Marjorie Beatrice Keogh (née Craig). His father held a senior position in the Civil service, having been Chief Inspector of Public Services for the Federation of Rhodesia and Nyasaland while his mother was a Hansard reporter in parliament. He attended the private Catholic boys school St George's College, Harare.
