M'Bolhi, who hails of Congolese (father) and Algerian (mother) origin, started playing football for RCF Paris.

[4] However, along with fellow new buys with Luděk Stracený and Martin Petras, he was not retained for the 2006–07 season and left the club without having made a first-team appearance.

M'Bolhi made 5 appearances for Ethnikos before leaving in the winter transfer period for Greek club Panetolikos, then competing in Gamma Ethniki.

M'Bolhi did not play against his parent team Slavia Sofia in the seventh round of the Bulgaria A PFG due to a special clause in the loan agreement.

However, he was deemed surplus to the requirements by the manager following the team's elimination from the UEFA Europa League by Slovenian club Mura 05 in late July 2012 (despite the Algerian not participating in these matches).

[14] His team was relegated to the Championnat National at the end of the season and he rejoined CSKA Sofia in the summer of 2013, signing a three-year contract.

[15] M'Bolhi was initially the third choice goalkeeper for the "armymen",[16] but started to feature more often towards the end of 2013 after Tomáš Černý fell into disfavour.

[20] However, his debut was delayed until 25 August (a 4–2 home win over San Jose Earthquakes)[21] after he was involved in a car accident in Paris, France and had to resolve paperwork issues.

On 11 January 2017, M'Bolhi decided to sign a contract with French top flight club Stade Rennais, rejoining his former national team manager Christian Gourcuff.

[30] On 9 September 2022, M'Bolhi joined Saudi First Division League side Al-Qadsiah, reuniting with former manager Khaled Al-Atwi.

[40] He made the 23-man Algerian squad for the 2010 FIFA World Cup and replaced Faouzi Chaouchi as starting goalkeeper for the second group match against England,[41] keeping a clean sheet and impressing in the goalless draw.

[42] However, he conceded a goal to Landon Donovan in the 91st minute of Algeria's 23 June match-up against the United States[43] On 11 August 2010, M'Bolhi earned his fourth cap in a 1–2 friendly loss to Gabon.

[45] On 9 September 2012, M'Bolhi was a key player for Algeria in a 1–0 away win over Libya in a 2013 Africa Cup of Nations qualification match.

[47] M'Bolhi was Algeria's starting goalkeeper at the 2014 FIFA World Cup, where the Algerians managed to qualify to the knockout rounds for the first time in history.