He left Kilmarnock in January 2009,[4] On 18 June 2009,[5] Cox signed a two-year contract with Annan Athletic. On 10 May 2012, he signed for newly promoted Alloa Athletic.[4] In November 2012, Cox signed for Peterhead on loan, making his debut against Rangers on 10 November 2012.[6] On 12 January 2013, the loan was turned into a permanent transfer.[7]
In February 2018, Cox stated that he had been mocked by both players and fans for discussing his mental health problems.[12][13] In December 2019, he commented that the abuse had continued and in some cases had worsened, and that it had caused him to be overly aggressive on the pitch and as a consequence he was considering quitting football, but that his club had offered their support.[14]
In March 2021, Cox joined Scottish League Two side Albion Rovers. On 29 April 2021, during a match against Stenhousemuir, Cox left the stadium at half-time after an alleged taunt from opposition defender Jonathan Tiffoney,[15] and stated he was retiring from football due to the incident.[16][17] Tiffoney later refuted the allegations and claimed it was Cox that verbally abused him.[18] A few days later, Cox confirmed that he would not be reversing his decision to retire.[19]