O'Grady notably played professionally for Leicester City, Rotherham United, Oldham Athletic, Rochdale, Sheffield Wednesday, Barnsley, Brighton & Hove Albion, Chesterfield and Bolton Wanderers.

Born in Nottingham, Nottinghamshire,[1] O'Grady originally caught the eye of former Leicester City boss Micky Adams as he was prolific in front of goal for the under 18s and reserves.

O'Grady was handed his debut when coming off the bench in Leicester's 2–0 victory over Grimsby Town in April 2003, but failed to break through into the first team the following season.

He made 11 appearances during a loan spell at Notts County in late 2004, gaining some much needed league experience, and ended the 2004–05 campaign on a high, winning a place on the bench in City's final game of the season against Plymouth Argyle.

After scoring from the penalty spot against Inter Milan in pre-season, O'Grady had a successful spell on loan at Rushden & Diamonds at the end of 2005, before returning to Leicester to compete for a place in the first team line-up.

[9] O'Grady played just two games with Bradford,[10] before he returned to Oldham and immediately joining another League One side Stockport County on loan until the end of the 2008–09 season.

[15] On 9 August 2011 Wednesday confirmed the signing of O'Grady from Rochdale for an undisclosed fee, believed to be around £350,000,[16][17] with the striker putting pen to paper on a three-year contract at Hillsborough.

On 26 February 2012, O'Grady scored once again against derby rivals Sheffield United with a header from a Lewis Buxton cross in a 1–0 win for the Owls at Hillsborough.

On January transfer deadline day in 2013, O'Grady joined Wednesday's South Yorkshire rivals Barnsley on loan for the remainder of the season.

[18] After a successful loan spell at Barnsley, O'Grady joined them on a permanent basis on 19 June 2013 from Sheffield Wednesday on a two-year contract for an undisclosed fee, rumoured to be around £300,000.

[19] Following Barnsley's relegation from the Championship at the end of the 2013–14 season, O'Grady transferred to Brighton & Hove Albion on 18 July 2014, signing a three-year contract for an undisclosed six figure fee believed to be £500,000.

"[28] At the end of Chesterfield's dismal league 2 campaign in 2017/18, O'Grady was ironically voted player of the season by disgruntled fans before the club decided to not award the 'honour' at all.