Generally, you would use "in the theatre". However, if the purpose of the sentence is to stress the location of his job. For example, today he is working at the theatre, he is part of the play, but tomorrow he will be at the movie set.

Theatre - British English Theater-American English

An actor works in a theatre

At. If you are asking if the correct spelling is theater or theatre, it's theater in American English, theatre in British.

It should be "at" to describe a place. CMIIW