The ongoing development of audio datasets for numerous languages has spurred research activities towards designing smart speech recognition systems. A typical speech recognition system can be applied in many emerging applications, such as smartphone dialing, airline reservations, and automatic wheelchairs, among others. Urdu is a national language of Pakistan and is also widely spoken in many other South Asian countries (e.g., India, Afghanistan). Therefore, we present a comprehensive dataset of spoken Urdu digits ranging from 0 to 9. Our dataset has 25,518 sound samples that are collected from 740 participants. To test the proposed dataset, we apply different existing classification algorithms on the datasets including Support Vector Machine (SVM), Multilayer Perceptron (MLP), and flavors of the EfficientNet. These algorithms serve as a baseline. Furthermore, we propose a convolutional neural network (CNN) for audio digit classification. We conduct the experiment using these networks, and the results show that the proposed CNN is efficient and outperforms the baseline algorithms in terms of classification accuracy.