Thecocoelurus is known only from half of a single cervical vertebra, discovered by the Rev. William Darwin Fox on the Isle of Wight during the 19th century. After his death the Fox Collection was acquired by the British Museum of Natural History. William Davies was the first to notice the specimen and assumed a close affinity with Coelurus. The holotype, NHMUK PV R181, was found in debris from a layer of the Wessex Formation, dating from the Barremian. It consists of the anterior end, about a third, of a cervical vertebra estimated by Seeley to have been nine centimetres long.