[3] Connelly moved on loan to South Shields in August 2019,[4] for whom he made 2 appearances,[5] and Alloa Athletic in January 2020.
[8][9] On 5 September 2021, he scored his first goal for Queens in the club's 3–0 win over Broomhill at Palmerston Park in the second round of the SPFL Trust Trophy.
[10] On 11 September 2021, he scored his first league goal for Queens in the club's 1–0 win over Raith Rovers at Stark's Park in the 12th minute.
[12] On 30 July 2022, Connelly scored Queens first goal of the 2022-23 season, after only 20 seconds and was also sent off for violent conduct in the 85th minute, as the Doonhamers were defeated 4-1 versus Clyde at Palmerston.
[13] On 30 August 2022, Connelly scored Queens equaliser in the 17th minute at Ibrox, as the Doonhamers lost 3-1 to Rangers in the second round of the Premier Sports Cup[14] On 14 June 2023, Connelly signed a one-year extension to his existing contract to remain at Palmerston.