Connolly was signed from Wolverhampton Wanderers by Bolton Wanderers on the summer transfer dealine in 2009 after the clubs agreed a £1,000,000 fee. Wolves later reported Bolton and their assistant manager Chris Evans, a former academy director at Wolves, for an illegal approach for the player. Connolly later stated he was unaware of the transfer fee Bolton had paid. On the January transfer dealine day of 2010, Connolly signed on loan for St Johnstone until the end of the season. He made his debut on 27 March 2010 in the loss to Hamilton Academical. During the 2011–12 season, Connolly was captain of Bolton Wanderers's reserve team and was on the substitutes bench for the first team in their League Cup win against Macclesfield Town and he then joined Macclesfield on 24 February 2012, on a months loan, making his debut the following day in their 1–1 draw at Oxford United. On 15 May 2012, Connolly confirmed on his Twitter account that he had left Bolton. This was followed by confirmation from the club that Connolly was one of twelve players released following the club's relegation to the Championship.
Crawley Town
On 9 July 2012, Crawley Town announced that Connolly had signed for them on a two-year contract. Connolly later stated he joined Crawley because he wanted the chance to play first team football. Connolly made his debut on 14 August, starting in a League Cup match as a right-back against Championship side Millwall which ended 2–2, with Crawley winning 4–1 on penalties. He then made his league debut for Crawley, in the opening game of the season, in a 3–0 win over Scunthorpe United. In late August 2012, Connolly was part of the Crawley team which successfully defeated Bolton in the League Cup thanks to a last minute goal by Nicky Ajose. In November 2012, after an earlier spell out of the side, Connolly spoke of his enjoyment at getting back in the team and playing regular first team games. On 1 January 2013, he scored his first Crawley Town goal in the 5th minute, in a 3–0 win over Colchester United. In a home match against Brentford on 26 February 2013, Connolly gave away a penalty and received a red card after 50 seconds, with Crawley going on to lose 2–1. He returned after being on the bench for five matches against Crewe on 26 March 2013. Connolly's second goal for the club came on 20 April 2013, in a 2–1 loss against Oldham Athletic. In his first season at Crawley Town, Connolly scored twice in 35 appearances for the club. In his second season, Connolly remained at the club after being linked with a move to Championship clubs following his performances during the previous season. He spent most of the first half of the season on the bench before regaining his first team place. Connolly then scored his first goal of the season, with a header, in a 1–0 win over Notts County on 29 December 2013. He went on to make 40 appearances in all competitions. Despite the club starting negotiations over a new contract, Connolly was among 11 players released at the end of the 2013–14 season.
Kilmarnock
Connolly signed a three-year contract with Scottish club Kilmarnock in July 2014. He made his debut on 9 August 2014, in a 1–1 draw with Dundee Connolly then scored his first Kilmarnock goal from a header and earlier set up a goal for Robbie Muirhead, in a 2–1 win over St Mirren A few weeks later on 3 October 2014, he scored his second goal of the season, in a 2–0 win over Dundee United. On 22 February 2015, Connolly was injured during Kilmarnock's 3–3 draw against Inverness Caledonian Thistle and it was later confirmed he had broken his collarbone with the injury expected to keep him out for the remainder of the season. He returned from injury earlier than expected against Motherwell on 8 May 2015. Ahead of the 2015–16 season Connolly was named as captain of Kilmarnock, replacing Manuel Pascali who had left the club earlier in the summer. On 23 May 2016, he had his contract cancelled.
Return to Crawley Town
On 2 July 2016, Connolly re-joined Crawley Town preceding his contract expiry from Kilmarnock. On 6 August 2016, he made his Crawley return in a 1–0 victory against Wycombe Wanderers, playing the full 90 minutes. On 1 October 2016, Connolly scored the winner in Crawley's 1–0 victory over Blackpool, netting in the 69th minute.
Dundee United
On 31 January 2019, Connolly signed for Dundee United for an undisclosed fee on a two-and-a-half-year contract.
