Born to wealthy parents, Auberjonois lived a "jeunesse dorée", studying the classics, starting a banking apprenticeship and serving as a lieutenant of cavalry in the Swiss Army. After dabbling in caricature and music during a first trip to England, he decided to become a painter and enrolled in the Kensington School of Art. In 1896, he moved to Paris to study with Luc-Olivier Merson and at the École des Beaux-Arts. His budding French career was noted in Switzerland, and after the turn of the century, he made the acquaintance of fellow painter Ferdinand Hodler, conductor Ernest Ansermet and writer Charles Ferdinand Ramuz. Auberjonois would later create numerous book illustrations and stage designs for Ramuz and for other artists, including for Igor Stravinsky's "L'histoire du soldat".