Although Delap failed to score during the 2002–03 campaign, he made a total of 30 appearances in all competitions and helped Southampton reach the 2003 FA Cup Final, despite missing the game due to an ankle injury. Although they narrowly lost to Arsenal after Robert Pires scored the only goal of the game, the Gunners had already qualified for the Champions League after finishing second in the Premier League, therefore Southampton qualified for the UEFA Cup. Their UEFA Cup campaign was short-lived, after a 1–1 draw with Steaua București at St. Mary's was followed by a 1–0 away defeat on 15 October 2003. Delap played in both legs.