Convey became famous when he was drafted in 2000 by D.C. United of Major League Soccer. That year he became the youngest player ever signed by Major League Soccer. Convey was originally slotted to play the majority of the season with the Project-40 squad, however, as United faltered he was called upon to step in and perform almost immediately. He played 22 games for United in 2000, starting 18 of those. Convey entered his first game in United's 4-0 loss to Los Angeles Galaxy in the home opener at Robert F. Kennedy Memorial Stadium on 25 March 2000 and was awarded his first start in United's 2-1 loss at the Columbus Crew on 3 May 2000. It was not until 4 July 2000 against the Colorado Rapids that Convey served up Raul Diaz Arce at the far post for a header past a helpless David Kramer. The teen also was impressive against English Premier League side Newcastle United, when the Magpies visited D.C. during a pre-season training stint in the US. Convey's two assists and high work rate during that friendly were enough to draw the attention of Newcastle's famed manager Bobby Robson.
In four and a half seasons in MLS, Convey finished with eight goals and 16 assists.
Convey made his début for his new club in a 1-0 loss away to West Ham United, coming on as a substitute. He made his first start a few days later during a 1-0 Reading victory over Sheffield United on 14 August 2004. However, the start of his career in England lacked distinction, as Convey made only seven starts and 15 substitute appearances during the 2004–05 season.
Convey entered the 2005–06 season in much better form, with a starting place in the team, and he helped the Royals win the League Championship title setting a new English record of 106 points in 46 games to gain promotion to the English Premier League for the 2006–07 season. Convey's first goals for the club came during a 5-0 victory over Millwall. Four Four Two, a football magazine in England, named him the tenth best player in The Football League.
Convey's first season in the Premier League started with Reading's 3-2 win over Middlesbrough on 19 August 2006. However, Convey missed much of the remainder of the season following a training ground injury in October 2006 and subsequent knee operations.
He returned from injury on 28 July 2007, playing the first half in a pre-season friendly match against Brighton, appearing "comfortable and in good shape," according to the team's match report. He returned to competitive football for Reading in the club's 1-0 victory over Everton on 18 August 2007.
Reading