An interesting fact is that most of the known connected $2$-arc-transitive nonnormal Cayley graphs of small valency on finite simple groups are $(\mathrm{A}_{n+1},2)$-arc-transitive Cayley graphs on $\mathrm{A}_n$. This motivates the study of $2$-arc-transitive Cayley graphs on $\mathrm{A}_n$ for arbitrary valency. In this paper, we characterize the automorphism groups of such graphs. In particular, we show that for a non-complete $(G,2)$-arc-transitive Cayley graph on $\mathrm{A}_n$ with $G$ almost simple, the socle of $G$ is either $\mathrm{A}_{n+1}$ or $\mathrm{A}_{n+2}$. We also construct the first infinite family of $(\mathrm{A}_{n+2},2)$-arc-transitive Cayley graphs on $\mathrm{A}_n$.