The club Association de la Jeunesse Auxerroise was founded in 1905, by the priest Father Ernest Abbé Deschamps. The club success, becoming a force in the Catholic league F.G.S.P.F. In 1908, the club even reached the F.G.S.P.F. French Championship final, losing 8–1 however. At the end of the First World War, the club was expelled from its ground. Father Deschamps acquired several pieces of land along the Yonne on the Vaux road, which later formed the Abbé Deschamps Stadium.
Auxerre made its first steps in Division 1 on 24 July 1980 against Bastia in Toulon. Auxerre lost the match 2–0. On 20 November 1980, Andrzej Szarmach signed for Auxerre having received consent from the . He started two days later at home against Lyon and scored the first of his ninety-four goals in Division 1. AJA's first season in Division 1 was remarkable for two particular performances: on 13 December 1980, at Parc des Princes against Paris Saint-Germain (3–2), and then on 7 April 1981, at Stade Marcel Saupin against Nantes for a 1–0 win, notable as Nantes had not lost a home game for five years and 92 games (between 15 April 1976 and 7 April 1981). In the next two seasons, AJA finished fifteenth and eighth respectively.
During the 1983–84 season, AJA climbed for the first time onto the podium in finishing third. Patrice Garande finished top scorer with twenty-one goals. A few weeks later, Garande won the gold medal at the Olympics in Los Angeles with the French Olympic football team while Joël Bats and Jean-Marc Ferreri were part of the victorious French team at UEFA Euro 1984. That summer, Auxerre recruited
Michel N'Gom. An international prospect, he left Paris Saint-Germain. During pre-season, he scored five goals in ten games. On the last weekend before the start of the season, he visited his former teammates in Paris. Tragically, he died following a traffic accident on 12 August 1984. To pay tribute, one of the stands at Abbé Deschamps bears his name. The 1984–1985 season saw Auxerre in European competition for the first time in its history by participating in the UEFA Cup, albeit with an unfavourable first round draw with Sporting Clube de Portugal. On 19 September 1984 at Estádio José Alvalade, AJA took its bow in European football with a 2–0 defeat. The return leg took place on 3 October 1984. AJA managed to retrieve the two goal deficit with a double by Szarmach, but eventually succumbed with two goals in extra time. However, by virtue of the victory of Monaco in the Coupe de France, AJA also qualified for the UEFA Cup the year after.
The 1985 offseason saw Joël Bats join Paris Saint-Germain. Auxerre recruited Bruno Martini as his successor. In the UEFA Cup, AJA were drawn against Milan. In the first leg, Auxerre won 3–1. Both teams missed a penalty and Paolo Maldini made his debut in European competition. In the return match, AJA lost 3–0 and was therefore eliminated. Seventh in the league and quarter-finalist in the French cup, AJA did not manage a third straight season in Europe. Auxerre finished fourth in 1986–1987, and was once again eliminated in the first round of the UEFA Cup the following season with a 2–0 away defeat to Panathinaikos too much to overcome in the return leg (which Auxerre won 3–2). The 1988–89 season saw AJA finish fifth in the league and reach the semi-finals of the Coupe de France before elimination by Olympique de Marseille, the future winner of the event. With fifth place in the league, AJA made the UEFA Cup and there made its first decent run. During the preliminary round, AJA managed its first victory. Beaten 0–1 at home by Dinamo Zagreb, it registered 3–1 in Yugoslavia and qualified for the first round proper. Auxerre beat successively Albanians Apolonia Fier, Finns RoPS and Olympiacos of Greece before being eliminated in the quarterfinals by Fiorentina. In parallel with this, AJA managed sixth place in the league. During the summer of 1990, the AJA sold Basile Boli and recruited Enzo Scifo, Alain Roche and . Auxerre finished in third place after leading the championship for two weeks.
In 1991–92, Auxerre was eliminated in the second round of the UEFA Cup by Liverpool and then finished fourth in Division 1. That summer, the AJA sold Alain Roche and Jean-Marc Ferreri while recruiting Frank Verlaat and Gerald Baticle. Auxerre then journeyed again into UEFA. Auxerre eliminated Lokomotiv Plovdiv and the newly formed F.C. Copenhagen. In the third round, AJA eliminated Standard Liege. In the quarterfinals, AJA faced Ajax, the defending champion and undefeated in the European Cup for two years. Before facing Ajax, Auxerre had suffered five consecutive league defeats. Auxerre managed a 4–2 home win. In the second leg Ajax could only manage a 1–0 win and so Auxerre had qualified for the semifinals, to face Borussia Dortmund. In the first leg in Germany, AJA lost 2–0. A fiercely contested second leg levelled the aggregate score, but Auxerre were finally eliminated on penalties.
While finishing sixth in the championship, Auxerre again qualified for the UEFA Cup after the
VA-OM case. But unlike the epic run of the previous season, AJA was eliminated in the first round by Tenerife. AJA made progress in the league, with a third-place finish, but notably captured its first major trophy, the French cup. Having made it past the lower division teams in the early rounds, AJA eliminated Nantes in the semifinals before winning 3 goals to 0 at Parc des Princes in the final against Montpellier. The following season, Auxerre finished fourth in the league and was a quarter-finalist of the Cup Winners' Cup: Auxerre was eliminated by Arsenal in the Abbe-Deschamps (1–0) having achieved a 1–1 draw at Highbury.
During the 1995-96 season, the club won Division 1 for the first time in their history, and also won the Coupe de France.
On 13 May 2012, Auxerre's 32-year stay in the top division came to an end after a 3–0 away defeat at the hands of Marseille. The following season, Auxerre finished a disappointing ninth place along with a goal difference of −2. The next season was no better for AJA, after they finished a lowly 16th position. Although not resulting in promotion the 2014–15 Ligue 2 season was better for the Burgundy based side as they finished ninth in Ligue 2 and finishing runners-up in the 2015 Coupe de France Final after losing to Paris Saint-Germain at the Stade de France in front of an attendance of 80,000.