After a difficult start with the Hornets, which included being placed on the transfer list, Cox went on to captain the side and made over 200 appearances in all competitions for the club.

In October 2012, Cox joined Football League Two club AFC Wimbledon as assistant manager to former Watford teammate Neal Ardley.

Born in Scunthorpe, as a child, Cox attended Crosby Juniors School and later High Ridge Comprehensive now known as St Lawrence Academy.

Cox instead joined First Division side Aston Villa in February 1991 for a fee of £400,000,[9] a club record for Scunthorpe at the time, as well as the installation of 2000 new seats at Glanford Park,[8][3] after just one season with The Iron.

Cox's move to the Villans progressed rapidly, receiving a call from Scunthorpe assistant manager Bill Green on a Sunday evening, signing for the club the following day before flying out to Hong Kong to join the first-team on Tuesday for pre-season training.

[8] Whilst at Villa, Cox played in the club's 3–1 victory over Manchester United in the 1994 League Cup Final, coming on as a substitute in the 79th minute in place of Steve Staunton.

[9] He endured a difficult start to his career at Vicarage Road as he was brought in as a replacement for long time fan favourite Nigel Gibbs during a period in which the club struggled and eventually suffered relegation at the end of the 1999–2000 season.

[12] In 2001, Italian Gianluca Vialli was appointed manager of the club and Cox was one of a handful of first-team players left in England to train with the reserves as the squad traveled to Italy for a pre-season tour.

He remained with the side into the new season and was eventually recalled to the first-team due to injury problems and formed a central defensive partnership with Filippo Galli, who Cox later described as "a world class player who was so down to earth".

He spent one season at Ninian Park, being hampered by injuries and the form of central defensive pairing Darren Purse and Glenn Loovens, making 27 league appearances and scoring twice,[9] both goals coming during a 3–0 victory over Stoke City on 11 February 2006.

[19] Both Neal Ardley and Neil Cox left AFC Wimbledon on 12 November 2018 by mutual consent after a long stretch of defeats and poor team performances.

Following a disappointing start to the 2021–22 season, Cox was sacked on 1 November 2021 with his side sat bottom of the Football League with just eleven points from the first fifteen matches.