Often referred to by his nickname of "Mad Dog", Allen began his career with Queens Park Rangers, signing professional in 1983 and spending six years at Loftus Road playing in the 1986 League Cup Final defeat against Oxford United, before a £670,000 move to West Ham United. Signed by manager Lou Macari, Allen made his debut on 26 August 1989 in a 3–2 home win against Plymouth Argyle. He scored the second goal, the other West Ham goals coming from David Kelly and Kevin Keen. Under manager Billy Bonds Allen was part of the team which won promotion to the First Division in 1991 and to the Premier League in 1993. Allen was frequently booked during his West Ham career and had a reputation for poor discipline. He was sent off in a match on 17 January 1990 for a two-footed lunge on Derby County's Mark Patterson. During a game on 30 November 1991 against Sheffield Wednesday, managed by Allen's manager at Queens Park Rangers, Trevor Francis, Allen was booked after only 20 seconds of being on the pitch for a jump tackle on Carlton Palmer which saw Palmer carried off with a suspected broken leg. Although not sent-off, West Ham manager Bonds fined Allen a week's wages. During his time at Queens Park Rangers Allen had been refused permission, by manager Francis, to attend the birth of his first child as Allen would miss an important match. Allen attended the birth and was disciplined by the club. Under Bonds and Harry Redknapp Allen formed a successful partnership with Peter Butler with Allen contributing 34 goals from midfield in 234 appearances. However, by 1995 team discipline was poor at West Ham and with Allen playing alongside Julian Dicks, John Moncur and Don Hutchison bookings were commonplace. Allen was again dismissed in a match against Queens Park Rangers on 3 May 1995 after fouling Rufus Brevett. He would play only five more games before being allowed to leave.