Gaudin has pitched in Major League Baseball (MLB) for the Tampa Bay Devil Rays, Toronto Blue Jays, Oakland Athletics, Chicago Cubs, San Diego Padres, New York Yankees, Washington Nationals, Miami Marlins, and San Francisco Giants.

[3][4] Gaudin was selected by the Tampa Bay Devil Rays out of high school in the 34th round (1009th overall pick) of the 2001 Major League Baseball Draft.

On July 15, in his first start for the Orlando Rays, Gaudin pitched a seven-inning perfect game in the first half of a doubleheader.

[8] Gaudin made his major league debut on August 1, allowing one run in 2.1 innings against the Kansas City Royals that day.

In 2004, Devil Rays manager Lou Piniella used Gaudin out of the bullpen in order to face tough right-handed batters.

On December 12, 2004, Gaudin was traded to the Toronto Blue Jays for backup catcher Kevin Cash.

He posted a 0.36 ERA in 4 starts for the River Cats and was promoted to the majors on April 21 to pitch out of the bullpen.

[19] His excellent performance as a starter resulted in the media considering him part of the new 'Big Three' that included Dan Haren and Joe Blanton.

[21] In December 2007, Gaudin underwent surgery to repair a labrum tear in his hip and remove the sesamoid bone in his right big toe.

[24] However, he ultimately started the season on the disabled list and was due to miss additional time before a rash of injuries forced the A's to activate Gaudin a week early.

[26] On July 8, 2008, Gaudin was dealt, along with Rich Harden, to the Chicago Cubs in exchange for Sean Gallagher, Matt Murton, Eric Patterson, and minor league catcher Josh Donaldson.

[44] On May 26, 2010, Gaudin re-signed with the Yankees to serve as a long reliever while Alfredo Aceves remained on the disabled list.

[49] Gaudin made 10 appearances for the Nationals, recording a 6.48 ERA in 8+1⁄3 innings before hitting the disabled list with shoulder inflammation on April 27.

On January 4, 2012, Gaudin signed a minor league contract with the Miami Marlins and received an invite to spring training.

[57] On March 26, 2013, it was reported that Gaudin had his contract purchased and had been added to the Major League roster as the final piece of the bullpen.

[67][66] He battled a recurring bout of nerve irritation during spring training and did not make the club, instead he was shut down for a period to recover.

[68] He wound up undergoing carpal tunnel release surgery and spent the entire season rehabbing in Arizona.

[71] He saved seven more games in the playoffs[72] and was on the mound when the Pericos won the Mexican League Championship Series.

[73] On February 21, 2017, Gaudin, along with Daric Barton, Manny Rodriguez, Nyjer Morgan, Rodolfo Amador, and Willy Taveras were traded to the Acereros de Monclova in exchange for RHP Joaquín Lara.

He was part of the team's championship run that year where he appeared in 22 games 23.2 inning of relief going 1-2 with a 3.04 ERA with 15 strikeouts and 12 saves.

[77] In 2019, he missed time due to a back injury and appeared in 12 games 14.2 innings of relief going 1-1 with a 4.91 ERA with 10 strikeouts and 4 saves.

While in the emergency room of Desert Springs Hospital, it was alleged that Gaudin groped a woman while she was lying on a gurney.

[83][84] In September he pleaded no contest to a reduced charge of disorderly conduct and was sentenced to 100 hours of community service and impulse control counselling.