Azzolina was raised in the Borough of Highlands, New Jersey and attended grammar and high school there. His parents were John and Angelina Giaimi Azzolina, who emigrated to the United States from Sicily during the 1920s. He joined the U.S. Navy in 1944 at 18 years old and was later enrolled in ROTC at Drew University. Azzolina left the Active Duty Navy in 1947 to serve in the U.S. Naval Reserves, where he eventually earned the rank of Captain. As well as being a politician and businessman, Azzolina also owned "The Courier" newspaper, in Middletown, New Jersey, which he purchased in 1982 and operated until it closed, in April, 2009.