Aubry obtained secondary education from the Lycée Voltaire and the Lycee Charlemagne. After high school Aubry pursued history, reading the great historians of the time like Albert Sorel, Albert Vandal and Anatole Leroy-Beaulieu. His interest in history took him to many places. He went on long trips to England, Spain and France. He then began to write for a living. His first published work was a collection of poems, entitled Of Love, Irony, Pity. He also published an essay called The Indulgence and the Law.
Aubry's fascination with history led to several historical novels. These included Louis XVII, Bonaparte and Josephine, The Coup d'état of Brumaire, The Lost King, Marie Waleska, The Bed King and Gaspard Hauser. He also authored numerous scholarly books on the great historical figures of 19th century. These were Napoleon III, Empress Eugenie, A History of the Second Empire, King of Rome, The Private Life of Napoleon and French Revolution. One of his most famous works was The Journey to St. Helena, a book to write which he spent several weeks on the island.