In 2003, Sutton joined Raith Rovers. He made a quick impression at Raith, scoring 13 goals in 20 league appearances for the Scottish First Division club. Several clubs enquired about his availability in January including Valencia where he spent three days on trial, Dundee and English Championship club Millwall, who signed him for £60,000. He failed to make an impression at Millwall, playing just 4 league matches. He did however contribute to Millwall's run to the 2004 FA Cup Final, coming on as a substitute against Tranmere Rovers in their quarter-final replay.