Auctions are modeled as Bayesian games with continuous type and action spaces.Computing equilibria in games is computationally hard in general and no exactsolution theory is known for auction games. Recent research aimed at learningpure strategy Bayes Nash equilibria in symmetric auction games. In contrast, weintroduce algorithms computing distributional strategies on a discretized versionof the game via convex online optimization. First, existence results for purestrategy Bayes Nash equilibria are more restricted than those for equilibria indistributional strategies. Second, the expected utility of agents is linear indistributional strategies. We show that if regularized convex online optimizationalgorithms converge in such games, then they converge to a distributional ε-equilibrium of the discretized game. Importantly, we prove that a distributional ε-equilibrium of the discretized game approximates an equilibrium in the continuousgame. In a large number of experiments, we show that the method approximatesthe analytical (pure) Bayes Nash equilibrium arbitrarily closely in a wide varietyof auction games. The method allows for interdependent valuations and differenttypes of utility functions and provides a foundation for broadly applicableequilibrium solvers. For small environments with only a few players and items,the techniques is much faster, and can solve equilibria in symmetric auction gamesin seconds.