He was sold to Matt Gillies's Leicester City in June 1959 for a fee of £20,000. At Filbert Street, Cheesebrough was the club's top-scorer in 1959–60 with 17 goals in 45 appearances. He then hit 12 goals in 42 games in 1960–61, and was part of the City side who were defeated 2–0 by Tottenham Hotspur in the FA Cup final at Wembley. City had to play most of the game with ten men after Len Chalmers picked up an injury; Cheesebrough later recalled that "the pitch was very tiring so playing with 10 men was very hard". He scored 11 goals in 26 games in 1961–62, as City posted a 14th-place finish in the league. He played in the European Cup Winners’ Cup against Glenavon and eventual winners Atlético Madrid. He hit three goals in 25 games in 1962–63, but was not included in the "Foxes" side that lost to Manchester United in the 1963 FA Cup final.