Theroux spent three months with Savile while making a documentary about the DJ in 2000, which failed to expose him as a paedophile.
He went on to have a friendship with the former Jim’ll Fix It presenter, even staying on occasion at his house.
After Savile’s abuse was exposed following his death in 2011, Theroux revisited the subject to try to “understand the truth more fully” by talking to victims.
Now Theroux tells Desert Island Discs: “I’d remained in contact with him (Savile) a little bit after I’d made the first programme. So, while I’m still quite proud of the first programme, I’m still a bit confused about how was I able to experience him as a somewhat likeable person in the year or two after making it.
“That’s something I think upon.”
On his follow-up documentary to When Louis Met Jimmy, he says: “I suppose I felt I wanted to figure out how it was that I’d missed what I’d missed.
“I wanted to do a personal and professional stock-taking and to sit down with victims and talk to them about their experiences.”