Cooksey joined Oldham Athletic on trial in July 2003. At the age of 23, he stepped up three leagues into professional football permanently when Iain Dowie signed him on for financially troubled Oldham in August, who were in the Second Division. Bob Dowie, who was Cooksey's former manager at Chesham United, recommended the player to his brother, Iain. He followed in the footsteps of Fitz Hall and Wayne Andrews who also joined the club from Chesham as recommendations from Bob Dowie. Cooksey scored twice in Oldham's 3–0 home victory over Carlisle United in their FA Cup first round match on 8 November 2003. When the new season, 2003–04, started Cooksey was unable to make his debut due to suspension. He made 37 Second Division appearances for Oldham in the 2003–04 season, scoring four goals.