"[5] Connolly made his Derby debut as a substitute in an opening day home defeat to Doncaster Rovers.

Despite initial being kept out of the starting line-up by Tyrone Mears, the latter's move to Marseille on loan ensure Connolly became the club's first choice right back and, later appointed team captain by manager Paul Jewell.

In August 2009, Robbie Savage was appointed Derby Captain by Nigel Clough, who had replaced Paul Jewell after he had resigned in December 2008.

[7] Although Connolly started the 2009–10 season as first choice right back he eventually fell down the pecking order as Clough deciding to bring in his own players and as a result bought in Premier League rightbacks from Fulham and Bolton Wanderers in the shape of Fredrik Stoor and Nicky Hunt respectively.

To get some games under his belt Connolly joined Sheffield United on a monthlong emergency loan as defensive cover,[8] making his debut the same evening in a 3–0 victory over Blackpool.

The loan was initially extended for another week but, with it becoming mathematically impossible for Sheffield United to make the playoffs, he returned to Pride Park after having made seven appearances for The Blades.

[8] After returning to Derby, Connolly made the bench for the penultimate game of the season against Bristol City, coming on in the second half to make his first appearance in three months.

Delighted United boss Simon Grayson said: "Paul brings plenty of experience and know-how to the squad.

He made his Leeds debut in the first game of the season against his old club Derby County on 7 August 2010 which ended in a 2–1 defeat.

[24] After being placed on the transfer list and falling behind Lee Peltier and Sam Byram in the pecking order, Connolly joined Portsmouth on a one-month loan on 18 August.

[25] On 15 January 2013, whilst still being transfer listed by Leeds United, it was announced that Connolly had joined Preston North End on loan.