On February 23, 1999, he married Hindi film actress Kajol.

In 1992, Ajay starred in Jigar alongside Karishma Kapoor, which grossed Rs.7,00,00,000.

In 2002, he featured in Ram Gopal Verma's fictional expose of Mumbai Underworld "Company". He was nominated for Filmfare Best Actor Award and won Filmfare Critics Award for Best Actor. The film fared well at the box office.

In 2002,he starred in his first home production "Raju Chacha" opposite wife Kajol. The film also bombed at the box office.

In 2008,He then starred in director Rohit Shetty's third film Sunday, before directing his first movie with wife Kajol and himself in lead roles. The film, titled U, Me aur Hum, was an average success.

In 2009, Ajay produced his third film All the Best also directed by Rohit Shetty. The film did good business and was a semi-hit.

In the beginning of 2010 Ajay worked with legendary actors Amitabh Bachchan and Ben Kingsley in Leena Yadav's Teen Patti. He starred in the comedy Atithi Tum Kab Jaoge alongside Paresh Rawal and Konkona Sen Sharma. He followed this with Prakash Jha's Raajneeti and Milan Luthria's Once Upon a Time in Mumbai. Both movies were among the top grossers of 2010.