On June 24, 2001, at the NHL Entry Draft, Connolly and Taylor Pyatt were traded by the Islanders to the Buffalo Sabres for captain Michael Peca, who sat out the entire previous season due to a contract impasse.

After two years away, Connolly returned for the 2005–06 season and experienced a breakout with 55 points in 63 games to help Buffalo to the fourth seed in the Eastern Conference.

The Sabres advanced to the Eastern Conference Final but suffered a slew of injuries on defense and fell to the eventual Stanley Cup champion Carolina Hurricanes in seven games.

[4] He returned to action on April 7, 2007, against the Washington Capitals, recording 13 minutes of ice time and scoring a goal; he was named second star for the game, which the Sabres won, 2–0.

Connolly had bone spur problems with his hip all throughout the 2007–08 season and had season-ending surgery to have them removed on March 21, 2008, after he had recorded 40 points in 48 games.

In Game 6 of the opening round of the 2011 playoffs vs. Philadelphia, Connolly was hit from behind by Flyers forward Mike Richards and went face first into the boards.

On July 2, 2011, Connolly was signed as an unrestricted free agent by the Toronto Maple Leafs to a two-year, $9.5 million contract.