Sedgwick began his career as a right midfielder at Rotherham United, where he was affectionately known as the Yorkshire Express, and made over 250 first team appearances in a seven year stint at the Yorkshire club. During that time he earned a reputation as an honest hard-working right-midfielder with good distribution skills. He was often regarded as the talisman of the club because of his Sheffield upbringing and passion for the club.
He signed for Preston North End for £400,000 in November 2004.
At Preston, Sedgwick started to fulfill his potential as a right midfielder under Billy Davies although the departure of Davies affected the certainty of his place in the team. Sedgwick did lose his place to Simon Whaley on the right wing when new manager Paul Simpson took charge at Preston. Towards the beginning of the 2006/2007 season, Sedgwick was asked to play in central midfield, a new position for the winger, forming a partnership with Paul McKenna.
In May 2010, Preston Boss Darren Ferguson said that he would not be extending Sedgwick's contract at the club as he was surplus to requirements. Sedgwick is widely regarded as a legend at Preston and manager at the time, Billy Davies, said Sedgwick puts more effort in than any other player he has ever seen.
He has also been frequently likened to footballer Cristiano Ronaldo for his use of skill and unbelievable tricks while on the ball. Aside from trickery, Sedgwick is known for his trademark 40 yard screamers which were common while he was playing for Preston North End.
On 7 June 2010 he became, Sheffield Wednesday manager, Alan Irvine's first summer signing of the 2010/11 pre-season.