O'Grady was a tall and powerful striker who came through the youth ranks at City, despite being born and raised in Nottingham. He caught the eye of Micky Adams, City's manager of the time, thanks to some impressive performances for the club's U18 and reserve side and was handed his debut when coming off the bench in City's 2-0 win over Grimsby Town in April 2003.
He failed to break into the first team and was sent out to Notts County to gain some much-needed first team experience. His reward on his return to City was a place on the bench in City's final game of the season. The pre-season that followed saw him score against Inter Milan from the penalty spot in a friendly match and, after a loan spell with Rushden and Diamonds, he returned to grab his first Championship start for the Foxes.
In total he made 25 appearances for City but scored just one league goal, in a 2-1 win over Luton Town. He left City for Rotherham United, in search of more first team opportunities further down the league ladder, before going on to play for Oldham Athletic, Rochdale and Sheffield Wednesday.