Allen played college basketball for the Connecticut Huskies for three seasons, gaining a reputation as an efficient long-range shooter. He entered the NBA in 1996 as the fifth overall selection. In the NBA, he developed into a prolific scorer for the Milwaukee Bucks, featuring alongside Glenn Robinson and Sam Cassell as the team achieved playoff success. However, the trio were unable to capture a championship, and Allen was traded to the Seattle SuperSonics. In Seattle, Allen's reputation as a scorer was solidified; he would break several league records for three-point and free throw shooting. Despite this, a title still eluded Allen, and he was traded to the Boston Celtics in 2007.