Auldjo was born in Aberdeen, Scotland in 1758. He came to Montreal around 1778. He became a fur trader. Later he exported wheat and imported goods from England. In 1796, he was elected to the Legislative Assembly of Lower Canada for Montreal West. He also became a Justice of the Peace. Auldjo was promoted to Lieutenant Colonel during the War of 1812. In 1817, he became a shareholder in the Bank of Montreal. His brother George was Lord Provost of Aberdeen.