Born in Amsterdam, Roy started his professional playing career in Ajax in 1987, winning the UEFA Cup in 1992. In November 1992, Roy was traded to the Italian club Foggia and replaced as leftwinger by Marc Overmars. During his time there, he represented his country at the 1994 World Cup, scoring once as the Netherlands reached the quarter-finals. After the World Cup, he moved to England after Nottingham Forest paid their record fee of £2.5million for his services.