Systems and methods are described for providing auxiliary functions in an on-demand code execution system in a manner that enables efficient execution of code. A user may generate a task on the system by submitting code. The system may determine the auxiliary functions that the submitted code may require when executed on the system, and may provide these auxiliary functions by provisioning sidecar virtual machine instances that work in conjunction with the virtual machine instance executing the submitted code. The sidecars may provide auxiliary functions on a per-task, per-user, or per-request basis, and the lifecycles of the sidecars may be determined based on the lifecycles of the virtual machine instances that execute submitted code. Auxiliary functions may thus be provided only when needed, and may be provided securely by preventing a user from accessing the sidecars of other users.