Auld played most of his minor hockey in his hometown of Thunder Bay, Ontario, with the Thunder Bay Kings program. He was a minor hockey teammate of future NHLers Taylor Pyatt, Patrick Sharp, Jason Jaspers and Aaron MacKenzie. Their Kings team won Gold in the All Ontario Bantam AAA championships in 1997 played in North Bay, Ontario.
Auld started junior career with the North Bay Centennials of the Ontario Hockey League (OHL) at the tail end of the 1997–98 season, appearing in six games without registering a win. After appearing in 38 games the following season, Auld was selected in the second round, 40th overall, of the 1999 NHL Entry Draft by the Florida Panthers. He would finish out his junior career with the Centennials, spending two more seasons as their starting goaltender. In his final season, Auld was named to Team Canada for the 2001 World Junior Ice Hockey Championships, where he backed up Maxime Ouellet. Later that same season, Auld was traded to the Vancouver Canucks for a third round pick in the 2002 NHL Entry Draft and a compensatory pick in the 2001 NHL Entry Draft.
Auld turned professional in the 2001–02 season, joining the Canucks' American Hockey League (AHL) affiliate, the Manitoba Moose. An ankle sprain sidelined Auld during training camp, however, and upon his return, he was assigned to the Columbia Inferno of the East Coast Hockey League. Solid play in six games at that level returned Auld to the AHL, where he showed steady improvement, despite competition for playing time from veterans Alfie Michaud and Martin Brochu. Following injuries to Canucks goaltenders Dan Cloutier and Peter Skudra, Auld earned a start at the NHL level, a 4–2 victory over the Dallas Stars on January 23, 2002, after which he returned to the AHL.
The 2002–03 season afforded Auld more opportunity for growth, although he again split playing time at the AHL level, this time with Tyler Moss. With Cloutier and Skudra entrenched at the NHL level, Auld still managed to appear in seven games as an injury-replacement, and even played one Stanley Cup playoff game in relief. Most importantly, he received extensive playing time, and improved his statistics considerably.
During the off-season, backup Peter Skudra signed with a Russian team, raising the possibility that Auld might claim the backup role for the Canucks. As the 2003–04 season approached, however, Canucks General Manager Brian Burke traded a draft pick to the Pittsburgh Penguins for Johan Hedberg, all but ensuring Auld another season in the minors. Again, Auld began the season sharing netminding duties with Tyler Moss. Auld again saw brief NHL action, appearing in six games. However, during the 2004 Stanley Cup playoffs, Dan Cloutier was injured early on in the Canucks' first round series with the Calgary Flames. Hedberg, who had been shaky as a backup, failed to impress Head Coach Marc Crawford in two appearances, and Auld claimed the starting role in Game 5, pushing Calgary the distance in the series, eventually losing in Game 7.