While it is not specifically stated, it can be inferred that he is from the Capitol. The games are specifically designed as a punishment and reminder to the Districts of their failed rebellion. If they were to allow a resident of a district be a part of the games administrators, and particularly at its highest rank, would open all kinds of opportunities to subvert the games. Basically, Capitol citizens are the only people who could be trusted to run the games.
That being said, there are several cases where the general citizens of the Capitol are shown to not be entirely on-board with the games and the treatment of the Districts. Plutarch certainly, and the handful of others that assist in the planning and execution of extracting Katniss to District 13. A large number of Capitol citizens lose their love for the games in Catching Fire, when they realize that the Victors they have come to know and love are going back into the games. Suddenly it is not some disconnected group of children from the districts they have no concern for, instead it is Victors they have come to know and love and think of as their own.