Connolly was born in
Glasgow. He started his career with
Dundee United. He spent ten years at
Tannadice, after which he joined
Airdrie for a short time, before moving to
St Johnstone in 1998. Connolly spent six years with the Saints, including short loan spells at
Morton and
Ayr United. Despite being sent out on loan, Connolly agreed a new three-year contract in May 2001, amidst interest from former manager and
Plymouth Argyle manager
Paul Sturrock. Connolly missed the final year of his contract due to a
cruciate ligament injury, and upon leaving
McDiarmid Park in 2004, returned to Ayr, where he spent a season before playing the following season with
Stirling Albion. Connolly joined former Dundee United colleague
Michael O'Neill at
Brechin City in May 2006.
Disallowed goal During his time at Dundee United, Connolly was involved in one of Scottish football's more bizarre moments when he was denied a hat-trick in a February 1993 match against
Partick Thistle at
Firhill after referee
Les Mottram failed to notice his shot had entered the goal and come back from the supporting stanchion. Despite Partick defender
Martin Clark catching the ball and handing it to goalkeeper
Andy Murdoch to restart, Mottram
missed both the goal and handball to wave play on. Connolly scored twice in the match in a 4–0 win. Mottram went on to officiate in the
1994 World Cup the following year. The incident resulted in the stanchions from which the ball had rebounded, previously widely used, being removed in a re-design of football goalposts. In 2018, at the same end of the stadium, a similar incident occurred, with Partick Thistle this time being denied a legitimate goal. ==Coaching career==