He played for various clubs including Feyenoord and Excelsior in the Netherlands as well as Wigan Athletic and Sunderland in the Premier League.
He was a member of Ireland's 2002 FIFA World Cup squad that lost to Spain in the knockout stage where his penalty kick was saved by Iker Casillas during the shootout.
His goal scoring record, at club and international level, which included a hat-trick in World Cup qualifying, earned him a move to Dutch team Feyenoord Rotterdam.
[8] He scored on his debut for Wigan in a 2–1 win at West Bromwich Albion,[9] but was hit by injuries for much of the rest of the 2005–06 season.
On 8 October 2009, Connolly signed a deal with League One side Southampton, lasting until the end of the 2009–10 season but capable of being extended by a further year if he hits an undisclosed number of appearances.
Connolly scored again for Southampton against Leicester City on 27 August, but this was not enough to prevent the Saints from slipping to their first defeat of the season, losing 3–2.
[19] However, in January 2012, after the arrivals of Billy Sharp and Tadanari Lee, Connolly lost his place in the starting eleven, and was released at the end of the season.
[28] His goal against Hartlepool on 21 March 2014 at the age of 36 years, 9 months and 15 days made him the club's oldest scorer to date.
He was sent off in 1997 after coming on as a substitute against Belgium in the play-off for a place at the 1998 FIFA World Cup, with Ireland losing by an aggregate score of 3–2.
[33] Connolly was part of the 2002 FIFA World Cup squad that lost to Spain in the knockout stage, where his penalty kick was saved by Iker Casillas during the shootout.
[34] He scored for Ireland in Niall Quinn's benefit match on 14 May 2002, against his former club, Sunderland as well as once in Mick McCarthy's testimonial on 26 May 1996 against Celtic.