Auberjonois wrote that his French family name, an uncommon one in the United States, means "armorer." Auberjonois was born in New York City. His father, Swiss-born Fernand Auberjonois, was a Cold War-era foreign correspondent and Pulitzer Prize-nominated writer. Auberjonois' mother, Laure Louise Napoléone Eugénie Caroline Murat, was a great-great-granddaughter of Joachim Murat (one of Napoleon's marshals and King of Naples during the First French Empire), and his wife—Napoleon's youngest sister—Caroline Bonaparte. Auberjonois had a sister and a brother, and two half-sisters from his mother's first marriage.