In August 2005, Parnaby suffered a knee injury that resulted in him missing the start of the 2005–06 season. He made his first team return on 2 October 2005, coming on as a substitute, in a 3–2 win over Aston Villa. His return was later short-lived when he suffered a minor knock during a League Cup match against Crystal Palace. After three weeks out, Parnaby made his first team-return on 26 December 2005 in a 2–0 loss against Blackburn Rovers. He scored his first Middlesbrough goal on 17 January 2006, in a 5–2 home win over Nuneaton Borough in the fourth round of the FA Cup. A few weeks later, on 31 January 2006, Parnaby scored his first Premier League goal, in a 3–0 win over Sunderland. He then scored his first European goal on 16 February 2006 in the first leg of last 16 of UEFA Cup, in a 2–1 away win over Stuttgart. However, Parnaby suffered a hamstring injury during a match against Birmingham City and was sidelined for three or weeks. He made his return to on 26 March 2006 against Bolton Wanderers and scored in a 4–3 home win. He played a full part in their progress to the semi-final of the FA Cup and the final of the UEFA Cup, in which he started. Parnaby finished the season with 42 appearance and four goals.