Mathy joined Bayern Munich's youth team in 1979, and made his first-team debut a year later, as a substitute for Norbert Janzon in a 3–1 win over VfL Bochum. He made two more substitute appearances in the 1980–81 season, replacing Dieter Hoeneß and scoring both times, as Bayern ended the season as German champions. The following season he made seventeen appearances without getting on the scoresheet, the last of which was the European Cup Final – he started the match, which Bayern lost 1–0 against Aston Villa, being replaced by Günter Güttler after 51 minutes. Bayern had more luck in the DFB-Pokal, beating 1. FC Nürnberg in the final, which Mathy didn't play in.