In 1994, he joined Middlesbrough, becoming the first player to break the £1 million transfer fee mark for the club. He made over 100 appearances for Middlesbrough, including playing in his second League Cup final in 1997, before moving to Bolton Wanderers in 1997 for £1.5 million. After two seasons at Bolton, Cox joined Watford. After a difficult start with the "Hornets", which included being placed on the transfer list, Cox went on to captain the side and made over 200 appearances in all competitions for the club.