Cheyne began as a professional for Aberdeen, signing in 1925 from Shettleston Juniors. During his time at Pittodrie he became an idol of the locals , and his goals helped improve the team from regular mid-table finishes to third place in his final season. He joined Chelsea in 1930 for a club record fee of £6000 but, despite playing alongside other talented forwards such as Hughie Gallacher and Alex Jackson, he struggled to settle and joined French club Nîmes Olympique in 1932. He returned to Chelsea two years later, finally leaving in 1936. Upon retiring Cheyne moved into coaching, initially with Chelmsford City before becoming manager of Arbroath, though without success.
Cheyne won five caps for the Scottish national team, scoring four goals, including a hat-trick against Norway and a goal direct from a corner - a feat which was only legalised the season before - against England. This last is credited with starting the 'Hampden Roar': as Scotland were playing with only ten players and there was less than a minute remaining of the game, the crowd of over 110,000 took up a roar of encouragement, which continued until well after the final whistle and subsequently became a common sound at Scotland home games. Cheyne is reported to have made scoring form corners something of a speciality, having performed the feat twice more for his club side the following season.
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