Born and raised in West Berlin, Rudolf moved with his family from Berlin to Paris to Italy, arriving in the United States a short time after his high school graduation from the Universite de Paris. While studying at the Lee Strasberg Theatre Institute, he landed his first professional role in the Susan Seidelman short film The Dutch Master, which was nominated for a 1994 Academy Award. He went on to appear in the off-Broadway plays Murder In Disguise, The Dumb Waiter, and Front Page.