The lineshape in an auto-oscillator with a large nonlinear frequency shift in the presence of thermal noise is calculated. Near the generation threshold, this lineshape becomes strongly non-Lorentzian, broadened, and asymmetric. A Lorentzian lineshape is recovered far below and far above threshold, which suggests that lineshape distortions provide a signature of the generation threshold. The theory developed adequately describes the observed behavior of a strongly nonlinear spin-torque nano-oscillator.PACS numbers: 75.30.Ds, 75.40.Gb, 05.10.Gg Thermal noise plays a key role in the dynamics of autooscillatory systems, especially for the nano-sized systems in which the characteristic energy of auto-oscillation is comparable with the thermal noise energy k B T . One important consequence of noise is the broadening of the power spectrum. It is well-established, for example, that white Gaussian noise leads to a broadened Lorentzian shape of the power spectrum both far below and far above the generation threshold in conventional auto-oscillators (for which the frequency is weakly dependent on the amplitude) [1]. In addition, the presence of noise also blurs the threshold between the damped and auto-oscillatory states.In the immediate vicinity of the auto-oscillation threshold, a non-Lorentzian spectrum appears: the lineshape can be described by a sum of several Lorentzian profiles corresponding to several simultaneously excited statistical modes. These modes have the same central frequency for a conventional auto-oscillator and, therefore, the contributions of higher-order modes do not lead to large qualitative changes in the overall spectral line profile [1]. In contrast, the central frequencies of the partial Lorentzian profiles are shifted in frequency by different amounts in a nonlinear auto-oscillator in which the frequency is strongly dependent on the amplitude. In the vicinity of the auto-oscillation threshold at which these shifts are of the order of the oscillation linewidth, the frequency nonlinearity leads to important qualitative changes in the lineshape: the spectral line is asymmetric and significantly broadened.An example of an auto-oscillating system with strong frequency nonlinearity is the spin-torque nano-oscillator (STNO), which is of considerable interest at present. This oscillator consists of two ("free" and "fixed") ferromagnetic layers separated by a nonmagnetic (metallic or dielectric) spacer. When driven by a spin-polarized direct current, an effective negative damping results in the "free" layer due to the spin-transfer effect [2,3].For a sufficiently large direct current, the induced negative damping overcomes the natural positive damping of the "free" layer, and auto-oscillations of magnetization of this layer result [4,5,6]. These and related phenomena are subjects of intensive research at present due to their possible applications in microwave nano-electronics.In this Letter, we present a theory of lineshape distortion in auto-oscillators with a strong nonlinear frequency shift in t...