Speaking at the Edinburgh TV festival, the documentary maker spoke about his notorious encounter with the child sex offender – then famous as the former Top of the Pops presenter – which he described as "the strangest and most upsetting event I've ever been involved in".
Following Savile's death in 2011, 450 alleged victims contacted the Metropolitan Police in just 10 weeks, with officials describing the scale of allegations against him as "unprecedented".
Theroux admitted the initial interview was pitched to "slightly poke fun at him" rather than to confront him over any rumours of wrongdoing.
In the programme it is Savile who raises the topic, telling Theroux he told people he hated children "to put salacious tabloid people off the hunt".
"Does it work?" Theroux asks.
"It works a dream," Savile says.
Theroux said at the festival that being duped by Savile had given him an unintional education into "how grooming works and how abuse often takes place".