Code-mixing refers to the mixed use of multiple languages. It is prevalent in multilingual societies and is also one of the most challenging natural language processing tasks. In this paper, we study Bahasa Rojak, a dialect popular in Malaysia that consists of English, Malay, and Chinese. Aiming to establish a model to deal with the code-mixing phenomena of Bahasa Rojak, we use data augmentation to automatically construct the first Bahasa Rojak corpus for pre-training language models, which we name the Bahasa Rojak Crawled Corpus (BRCC). We also develop a new pre-trained model called “Mixed XLM”. The model can tag the language of the input token automatically to process code-mixing input. Finally, to test the effectiveness of the Mixed XLM model pre-trained on BRCC for social media scenarios where code-mixing is found frequently, we compile a new Bahasa Rojak sentiment analysis dataset, SentiBahasaRojak, with a Kappa value of 0.77.