Bajo was born in Brikama, and received his secondary schooling at the Muslim High School in Banjul. He joined the Gambia National Gendarmerie (later called the Gambia National Army) in April 1984, and by January 1993 had been promoted to captain. He was made commander of the presidential guard in January 1994, under President Dawda Jawara, however left the country following the bloodless coup d'état a few months later (which saw Yahya Jammeh become the new head of state). Bajo was reconciled to the new leadership within a short period of time, and in August 1994 was made Commissioner of the Western Division by the Armed Forces Provisional Ruling Council (AFPRC). He and another officer, Edward Singhateh, became members of the AFPRC in January 1995, following the arrest of two others for an alleged coup attempt.