On 10 June 2010, Leeds signed Connolly from Derby County on a free transfer. He joined on a three-year contract and was the third arrival of the summer, joining Kasper Schmeichel and Billy Paynter. Delighted United boss Simon Grayson said: "Paul brings plenty of experience and know-how to the squad." Connolly was given the number 2 shirt, displacing Jason Crowe who had previously occupied the shirt number. He made his Leeds debut in the first game of the season against his old club Derby County on 7 August 2010 which ended in a 2–1 defeat. Connolly missed his first game for Leeds when a hamstring injury ruled him out of the game against Doncaster Rovers. Manager Simon Grayson revealed in his pre match press conference against Sheffield United that Connolly would miss the match against Sheffield through injury, and also the matches against Preston and Ipswich. Connolly stepped up his comeback trail when he played for Leeds reserves against Scunthorpe reserves.