In 2002 Penney retired to pursue a career in management and he remained at Doncaster, taking the managerial job on a full-time basis. After a well-placed finish in his first season, Penney guided Doncaster back into the
Football League with victory in the
2003 play-off final. Their stay in
Division Three wasn't long though as he managed Doncaster to the Division Three title. During a further two seasons of cementing Doncaster's place in
League One Penney famously masterminded victories over
Premier League sides
Manchester City and
Aston Villa, and nearly overcame
Arsenal in the
League Cup quarter-finals before finally being beaten in a penalty shootout. Penney left Rovers on 30 August 2006 as he felt he had taken the club as far as he could. He was appointed manager of
Darlington on 30 October 2006. He returned to
Doncaster with Darlington for a
Football League Trophy tie on 9 January 2007, Doncaster winning the game 2–0, and Penney received a hero's reception from the home fans at the new
Keepmoat Stadium. Penney was appointed manager at
Oldham Athletic on 30 April 2009. Together with manager
Adam Lockwood, Penney was fired on 30 August 2017. On 1 October 2017,
York City hired Penney as a sporting director. On 11 August 2022, York City announced that Penney had left the club by mutual consent with immediate effect. ==Managerial statistics==