Rae was born in Glasgow.He started his career as a youngster at boyhood heroes Rangers but was rejected by boss Graeme Souness. He dropped down to junior leagues with Bishopbriggs before he joined Falkirk and enjoyed a successful two years before heading south to sign for Millwall in 1990 for £100,000. He made his Millwall debut on 25 August 1990 and played for the club for six years. He is currently Millwall’s joint-ninth all-time leading scorer, with 71 goals in all competitions. His form for Millwall earned him a big money move to Premier League Sunderland for £1 million in 1996, where he established himself as a crowd-pleasing, combative midfielder.
He won promotion as champions back to the Premier League with Sunderland in 1998–99 and played regularly in the top flight. By 2001, he had dropped out of manager Peter Reid’s plans and was sold to Wolverhampton Wanderers in September 2001, for £1.2 million. He quickly became an important player for Wolves, winning the fans’ player of the season award in his first campaign. The following year, he helped them back into the Premier League when they won the play-offs in 2003. He had a strong year in the top flight, finishing as the club’s leading scorer with eight goals – his best-ever seasonal tally – but could not prevent the club’s relegation. Rae re-signed for Rangers in May 2004, and won the league title in his first season, scoring once in the process against Dunfermline. He only featured 12 times in his second season, however, and was later released by the club.