He only played a handful of matches for Racing Genk and the following season, he was loaned out to newly-promoted Eredivisie side MVV Maastricht. Again, he only spent one season with the club and then moved to another Dutch club, RKC Waalwijk in a permanent deal, where he had another season-long stay.
In 2001, he moved to La Liga side Real Betis, his fourth new club in four years. In his first year, he played eleven matches with the first team but found his chances limited in the following season, prompting a loan to Premier League Aston Villa, in which he scored twice in eleven appearances. Here, he was perhaps famed more for his sending off against bitter rivals Birmingham City than his actual footballing performances for Villa.
Guðjónsson spent the 2003/04 season on loan at Wolves as they battled against relegation from the Premier League, appearing 11 times in the league, 16 in total. After returning to his parent club in the summer, he ended making a permanent return to England, but to Leicester City rather than Wolves.
After joining on a free transfer, Guðjónsson became a regular first-team player as the Foxes struggled to make an immediate return to the top flight. He won the club's player and goal of the season awards in their end of season ceremony. His winning goal came against Hull City when he scored from the halfway line, a strike which also won several other goal of the month awards and the Central Soccer Night goal of the season.
In February 2006, with his contract starting to run out, he agreed a move to Dutch side AZ Alkmaar, who had been playing in European competitions and had spent most of that season in the top four of the Dutch Eredivisie. He completed the switch and made his debut for AZ on 4 August 2006, in a friendly against Arsenal, coming on as a 64th minute substiute. AZ lost the game 3–0, which was the first to be played at AZ's new DSB Stadion.
However, he struggled to establish himself in the AZ team, and quickly returned to English football in January 2007, just five months after joining the club. He had been linked with a return to Leicester City, but this was in the middle of Milan Mandric's takeover of the club so the foxes could not sort out their finances in time, so instead joined Burnley for £150,000 on a three-and-half year deal.
After personal reasons kept him out of some of the remaining games of the season, his pre-season form saw him move back into the starting line-up at the start of the 2007–08 season, although he equally quickly slipped back out of first choice status. He was then dropped from the squad entirely under Steve Cotterill after failing to impress, however his fortunes changed when Owen Coyle took over as Burnley manager and found himself back onto the subs bench. He scored his first goal for Burnley as they beat Watford 2-1 at Vicarage Road on 27 November 2007 in Coyle's 2nd game in charge. He was frequently used as a late substitute for the remainder of the season. This role continued at the start of the 08/09 season before an injury to Kevin McDonald saw him play 45 minutes against Swansea City, scoring his 2nd goal for the Clarets in a 1-1 draw. This earnt him a starting role for the next 2 games, in which he scored again against Preston North End, this time spectacularly from 30 yards.