AlGaAs is a promising material for integrated nonlinear photonics due to its intrinsic high nonlinearity. However, the challenging fabrication of deep etched AlGaAs devices makes it difficult to realize high-performance devices such as low-loss dispersion engineered waveguides and high-quality microring resonators. Here, we report a process to make high-quality AlGaAs-on-insulator (AlGaAsOI) wafers where high confinement waveguides can be realized. Using optimized patterning processes, we fabricated AlGaAsOI waveguides with propagation losses as low as 1 dB/cm and microring resonators with quality factors up to 350,000 at telecom wavelengths. Our demonstration opens new prospects for AlGaAs devices in integrated nonlinear photonics.