While working as a dance choreographer, Ajay made his acting debut with Agathiyan's Selvam (2005) portraying a friend of the lead character played by Nandha. His friendship with Venkat Prabhu meant that he was cast in Chennai 600028 (2007) portraying an ambulance driver, who plays gully cricket for the Sharks team. He has since appeared regularly in films associated with director Venkat Prabhu and his team such as Saroja (2008) and Thozha (2008). Ajay Raj also portrayed a supporting role in Thiagarajan Kumararaja's neo-noir gangster film Aaranya Kaandam (2010), portraying a henchman of the gangster played by Jackie Shroff.

In 2016, actor Nithin Sathya announced that Ajay Raj would play the lead role in his first film as a producer.