On 3 January 2019, Connolly signed for AFC Wimbledon from Dundalk for an undisclosed fee.[3] He was released at the end of the 2019–20 season following the end of his contract.[5]
Bradford City (loan)
He signed on loan for Bradford City in September 2019.[6] His loan expired on 1 May 2020.[7]
Despite being offered a new contract to stay in Scotland, on 15 June 2021 it was announced that Connolly had agreed a deal to join League Two side Northampton Town upon the expiration of his contract with St Mirren, signing a two-year contract at Sixfields Stadium.[10]
Morecambe
On 31 January 2022, Connolly joined League One side Morecambe on a deal until the end of the 2022–23 season.[11] On 8 January 2023, it was announced that his contract had been cancelled by mutual consent after scoring 1 goal in his 43 appearances for the club in all competitions.[12]