Born to an affluent trader in the Danube River town of Svishtov, he attended the Faculty of Law of the University of Odessa, graduating in 1885. He worked as a jurist in Sofia before embarking on a writing career. His first novel (in fact, a collection of relatively independent short stories), Bai Ganio ("Uncle Ganio"), describes the travels through Western Europe of an itinerant peddler of rose oil and rugs. Though impertinent and clumsy, the nevertheless ingenious Bai Ganio has been seen as a mirror for a modernizing Bulgaria. At the beginning of the novel Bai Ganio is seen mainly as trading rose oil while at the end he is portrayed as a political man. His propotype is the Karlovo tradesman Ganio Somov.

 Konstantinov, a cosmopolitan traveler, was the first Bulgarian to write about his visits to Western Europe and America. He visits to the World Exhibitions in Paris in 1889, Prague in 1891 and Chicago in 1893 provided Bulgarian readers, who had recently gained independence from nearly 500 years of Turkish Ottoman oppression, with a portrait of the developed world. To Chicago and Back (where Bai Ganio appears once again, but only as a third plan person), his travel notes from his American trip, spurred a lasting interest in Chicago, which today boasts the largest concentration of Bulgarian immigrants in the United States.

His essays exposing the hidden insidious intentions of the rulers of his day led to his assassination in 1897. However, there exists also the version that it was his friend who was the target of the assassination attempt - they had exchanged their places in the coach shortly before the fatal shot was fired. Konstantinov's heart, with a bullet hole in it, is still preserved.

Aleko Konstantinov initiated the tourist movement in Bulgaria. This is why two of Vitosha's hotels are named after him - "Aleko" and "Shtastlivetsa" ("The Lucky Man", the nickname he gave to himself in one of his short stories).