In the realm of multi-modal visual recognition, the reliability of the data acquisition system is often a concern due to the increased complexity of the sensors. One of the major issues is the accidental loss of one or more sensing channels, which poses a major challenge to current learning systems. In this paper, we examine one of these specific missing data problems, where we have a main modality/view along with an auxiliary modality/view present in the training data, but merely the main modality/view in the test data. To effectively leverage the auxiliary information to train a stronger classifier, we propose a collaborative auxiliary learning framework based on a new discriminative canonical correlation analysis. This framework reveals a common semantic space shared across both modalities/views through enforcing a series of nonlinear projections. Such projections automatically embed the discriminative cues hidden in both modalities/views into the common space, and better visual recognition is thus achieved on the test data. The efficacy of our proposed auxiliary learning approach is demonstrated through four challenging visual recognition tasks with different kinds of auxiliary information.