In 1996, he signed with Malaysian club Selangor for £750,000, where he won the Malaysian FA Cup, his first trophy as a player. In August 1997, he signed for Leicester City for £500,000 where he was presented with his first chance of European football at the age of 32 as Leicester had an ultimately short lived campaign in that season's UEFA Cup. He managed 19 league games and scored four goals as the Foxes finished 10th, and one of those goals came in a shock 1–0 win over title chasing Manchester United at Old Trafford on 31 January 1998. He also had a loan spell at Birmingham City in Division One that season, and in his first taste of second-tier football managed to score one goal. In the semi-final of the 1998–99 Football League Cup against Sunderland Cottee scored three goals across the two legs (two in the first and one in the second) to help Leicester win 3–2 on aggregate. However they lost the final to Tottenham Hotspur. In 1999–2000, aged 34, he finally won a major trophy in England as he helped Leicester defeat Tranmere Rovers 2–1 in the Football League Cup final. That season he scored 13 league goals, which remained the most Premier League goals scored by a Leicester player in a single season until the 2015–16 season, when Jamie Vardy surpassed his total. He remained at Filbert Street until 11 September 2000, by which time he had played a total of 85 league games for the Foxes and scored 27 goals. This brought his total career tally to 214 goals in the English top division, making him the 17th highest goal scorer in the history of English top flight football.