Nonlinear frequency conversion is ubiquitous in laser engineering and quantum information technology. A long-standing goal in photonics is to integrate on-chip semiconductor laser sources with nonlinear optical components. Engineering waveguide lasers with spectra that phase-match to nonlinear processes on the same device is a formidable challenge. Here, we demonstrate difference-frequency generation in an AlGaAs Bragg reflection waveguide which incorporates the gain medium for the pump laser in its core. We include quantum dot layers in the waveguide that generate electrically driven laser light at ∼790 nm, and engineer the structure to facilitate nonlinear processes at this wavelength. We perform difference-frequency generation between 1540 nm and 1630 nm using the on-chip laser, which is enabled by the broad modal phase-matching of the AlGaAs waveguide, and measure normalized conversion efficiencies up to ( 0.64 ± 0.21 )% W−1 cm−2. Our work demonstrates a pathway towards devices that utilize on-chip active elements and strong optical nonlinearities to enable highly integrated photonic systems-on-chip.