Born in Trebinje, Bosnia and Herzegovina, Gudelj started out at his hometown club Leotar, collecting 87 appearances in the Yugoslav Second League between 1988 and 1991.
He subsequently switched to Partizan, winning four trophies with the Crno-beli, including the double in the 1993–94 season.
In the summer of 1994, Gudelj moved abroad and signed with Spanish club Logroñés.
He spent two seasons there, before joining fellow Segunda División club Leganés.
In the summer of 1997, Gudelj moved to the Netherlands and signed with NAC Breda.