This paper introduces \texttt{infotheory}: a package written in C++ and usable from Python and C++, for multivariate information theoretic analyses of discrete and continuous data. This package allows the user to study the relationship between components of a complex system simply from the data recorded during its operation, using the tools of information theory. It implements widely used measures such as entropy and mutual information, as well as more recent measures that arise from multivariate extensions to information theory, specifically Partial Information Decomposition. It provides an easy-to-use and flexible tool for use in research as well as pedgogical purposes to introduce students to information theory. Website: http://mcandadai.com/infotheory/ Source: https://git.io/infot