Aubry was married to Xavier Aubry, and has a daughter from that marriage. In 2004, she married Jean-Louis Brochen, a French lawyer, but decided to keep the family name of her first marriage. Aubry studied economics in Paris. She also has diplomas in political sciences, social sciences and work. She has also studied at the École nationale d'administration. She became active in the Confédération française démocratique du travail, which is currently the biggest trade union of the country.