The happy couple, dressed in matching black at the red carpet event, was also spotted at Barneys in New York City.
Theroux, 42, called his fiancée of almost two years “gorgeous” at the premiere of the show, which debuts Sunday (10 p.m. ET).
The actor also said at the premiere of The Leftovers – which is about a global Rapture-like event, in which some people disappear and others are left behind – that he would want to take his longtime love with him to the afterlife if he were ever taken or left behind.
“That’s who I’d want to bring back,” he said of Aniston, 45. “That’s who I’d want to bring with me.”