Injury kept him out for most of the top flight season, but was returned to the captaincy by Martin O'Neill for the 1995–96 play-off final victory over Crystal Palace, a position he retained for the successful 1996–97 season, lifting the League Cup at Hillsborough having set up Emile Heskey's goal in the first game and Steve Claridge's winner in the replay. This was his testimonial season, with the likes of Paul Gascoigne and David Seaman playing in his benefit game. He was also captain when City lost the League Cup final to Tottenham Hotspur in 1999. His last European appearance was a 2–1 UEFA Cup defeat to Atlético Madrid at the Vicente Calderón stadium in 1997. Walsh is a hugely popular figure with Leicester fans, who nicknamed him "Captain Fantastic". Despite being left out of Leicester's squad for the 2000 Football League Cup Final he made three appearances and scored one goal during their victorious League Cup campaign.