Dave Penney was born in 1964 in Wakefield and joined his first club in his teens. He joined local Pontefract Collieries and was transferred to Derby County within a year. He was about as far from a regular as you could get as he made just 19 appearances in four years before transferring to Oxford United. He spent five years at the Manor Ground, scoring a reasonable 15 goals in 110 games in a spell that also included a brief loan stint at Swansea.

The loan spell was enough to convince the Welshmen to bring Penney in permanently, although it was three years after his loan spell had ended and after 116 appearances and 20 goals, he took a road less travelled, joining Cardiff City. However, his time in the Welsh capital lasted just a season due to missing his northern home and he subsequently joined crisis club, Doncaster Rovers.

He spent four years as a play at Belle Vue before taking over as caretaker manager on three occasions, being appointed permanently ahead of the 2002/3 season. Within two seasons and Doncaster Rovers had won two promotions, winning the Conference Playoffs against Dagenham and Redbridge before squeezing past several "big" clubs like Hull City to win Division Three.

He spent two more seasons at Doncaster Rovers before leaving the club ahead of the 2006/7 season and leaving behind a winning record of 46.6% from his permanent stint in charge of Rovers.

He spent a few months out of the game before joining ambitious Darlington as manager. His first season yielded little success but the Quakers made the Playoffs in his second season. Despite leading 2-1 from the first leg and scoring first in the second leg, Darlington would conceded two second half goals and the game went to penalties, the Quakers missing their final spot kick to see Rochdale through to the final.