Training neural networks with auxiliary tasks is a common practice for improving the performance on a main task of interest. Two main challenges arise in this multi-task learning setting: (i) designing useful auxiliary tasks; and (ii) combining auxiliary tasks into a single coherent loss. Here, we propose a novel framework, AuxiLearn, that targets both challenges based on implicit differentiation. First, when useful auxiliaries are known, we propose learning a network that combines all losses into a single coherent objective function. This network can learn non-linear interactions between auxiliary tasks. Second, when no useful auxiliary task is known, we describe how to learn a network that generates a meaningful, novel auxiliary task. Evaluation of AuxiLearn in a series of tasks and domains, including image segmentation and learning with attributes in the low data regime, shows consistent improvement in accuracy compared to competing methods.