Representing the Suffolk Athletic Club, which paid for most of Connolly's expenses (Connolly later claimed he paid it all himself), he left for Greece on a German freighter, the "Barbarossa", along with most of the rest of the first American Olympic team. After arriving in Naples, Italy he was robbed and almost lost his ticket to Athens. He managed to retrieve it only after a pursuit against the robber. Finally he took the train to Athens, arriving there just in time for the Games.