Asymptotically nonlocal field theories represent a sequence of higher-derivative theories whose limit point is a ghost-free, infinite-derivative theory. Here we extend this framework, developed previously in a theory of real scalar fields, to gauge theories. We focus primarily on asymptotically nonlocal scalar electrodynamics, first identifying equivalent gauge-invariant formulations of the Lagrangian, one with higher-derivative terms and the other with auxiliary fields instead. We then study mass renormalization of the complex scalar field in each formulation, showing that an emergent nonlocal scale (i.e., one that does not appear as a fundamental parameter in the Lagrangian of the finite-derivative theories) regulates loop integrals as the limiting theory is approached, so that quadratic divergences can be hierarchically smaller than the lightest Lee-Wick partner. We conclude by making preliminary remarks on the generalization of our approach to non-Abelian theories, including an asymptotically nonlocal standard model.