  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 AlGaAs 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 $(0.64\pm0.21)$ %/W/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.
