For a conformal manifold we introduce the notion of an ambient connection, an affine connection on an ambient manifold of the conformal manifold, possibly with torsion, and with conditions relating it to the conformal structure. The purpose of this construction is to realise the normal conformal Tractor holonomy as affine holonomy of such a connection. We give an example of an ambient connection for which this is the case, and which is torsion free if we start the construction with a C-space, and in addition Ricci-flat if we start with an Einstein manifold. Thus, for a C-space this example leads to an ambient metric in the weaker sense of Čap and Gover, and for an Einstein space to a Ricci-flat ambient metric in the sense of Fefferman and G...