Ajay is the son of a well-known stunt choreographer Veeru Devgan and producer Veena Devgan. Ajay is an alumnus of the Silver Beach High School in Juhu and Mithibai College.
Ajay made his film debut with Phool Aur Kaante in 1991 and received a Filmfare Award for Best Male Debut for his performance.
Ajay began dating Kajol in 1994, while shooting for Gundaraj. On 24 February 1999, they got married in a traditional Maharashtrian style ceremony at the Devgn house.