Andreev reflection conductance spectra are obtained on nanoscale ballistic junctions between Au tips and single crystals of the pure and Cd-doped heavy-fermion superconductor CeCoIn5. Background conductance asymmetry starting at the heavy-fermion coherence temperature T* (∼45 K) and increasing with decreasing temperature down to Tc (2.3 K) signifies the emerging heavy-fermion liquid in CeCoIn5. Below Tc, enhancement of the sub-gap conductance arises from Andreev reflection, but the Blonder-Tinkham-Klapwijk theory dictates that the Fermi velocity mismatch should yield no Andreev reflection. The signal we do observe is several times weaker than that observed in conventional superconductors, but consistent with other heavy-fermion superconductor data reported. Data taken in the (0 0 1), (1 1 0), and (1 0 0) orientations provide consistent and reliable spectroscopic evidence for dx2 - y2 symmetry of the superconducting order parameter. Conductance spectra on the (1 0 0) surface of 10% Cd-doped CeCoIn5 show intriguing behaviors following antiferromagnetic and subsequent superconducting transitions.