This paper proposes a smooth analytic gradient for frictional contact and applies it to policy learning and contact-implicit trajectory optimization for legged locomotion. The exact contact sensitivity is available in closed form but describes changes within the current contact mode, providing no first-order information toward neighboring contact modes. The proposed gradient replaces this sensitivity only in the backward pass, leaving the hard-contact forward solve unchanged and the realized rollout feasible. A central-path relaxation of the de Saxcé-corrected second-order-cone complementarity problem for Coulomb friction smooths the conditions defining the separating, clamping, and sliding modes. The relaxed sensitivity is evaluated at a point on the central path obtained by a Newton iteration initialized from the hard-contact solution. The sensitivity remains continuous through contact-mode transitions and converges to the exact sensitivity as the relaxation vanishes. Using 100,000 samples and less than 2 min of training on a desktop PC, policy learning with the proposed gradient produces a policy that transfers to hardware without fine-tuning. On hardware, the robot under a trotting policy withstands pushes and traverses debris and slippery ground. In trajectory optimization, the proposed gradient reaches contact-rich solutions missed by exact and Signorini-relaxed gradients. Project page: https://diffcontact.github.io

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