Dyer made his first team debut for Southampton on 26 December 2005, as a substitute after 87 minutes, in a match that resulted in a 2–0 win over Crewe Alexandra. In late 2005, he enjoyed a successful spell on loan to Burnley, where he scored two goals against Millwall and Crewe during a total of five appearances. He was recalled, despite pleas from Steve Cotterill to stay until the end of the season. After his loan to Burnley, Dyer signed a new contract at Southampton, where he played on the first team squad for the rest of his time with the club.