He was educated at Westminster School and was a scholar at Trinity College, Cambridge, where he received his Bachelor in 1577.
He was principal of Jesus College, Oxford from 1621 to 1630. Thelwall matriculated at the University of Oxford on 14 July 1579, and was awarded his Master of Arts on 13 June 1580. He was Chief Master of the Alienation office from 1579 to 1599 and was called to the bar in 1599.
On 8 March 1605, he was appointed steward and recorder of Ruthin for life.
He built the house of Plas Coch and on 28 December 1607 he received a joint grant of the office of Prothonotary and Clerk of the Crown in Anglesey, Carnarvonshire, and Merionethshire for life, in reversion after the death of Richard Fowler. From 1617 to 1630 he was a Master in Chancery.
Thelwall became Principal of Jesus College, Oxford in 1621, and remained in this post until his death. He was knighted on 29 June 1619.
He was treasurer of Gray"s Inn in 1625.
In 1626 he was elected Member of Parliament for Denbighshire again. He was re-elected Member of Parliament for Denbighshire in 1628 and sat until 1629 when King Charles decided to rule without parliament for eleven years. Another brother Simon was also Member of Parliament for Denbughshire.
There is a picture of him as a child in Jesus College.
Happy Parliament; 2nd Parliament of King Charles I]
He became a member of Gray"s Inn on 16 June 1612. In 1624, he was elected Member of Parliament for Denbighshire.