Jimmy Horsley began his football with Grantham Avenue, later moving on to Newark Town of the Midland League.

In 1909, Horsley was signed by Leeds City as reserve centre-half to Tom Morris, though he did not really have the necessary height or weight to excel in the position. He was given his Peacocks debut at the beginning of November against Burnley. City won 1-0 and he retained his place for the next game before being dropped when Morris was available again. He did go on to play in 18 of the last 21 league games of the season, switching to right-half in the closing weeks.

He had fewer opportunities in 1910/11 and left Elland Road at the end of the season to return to Grantham.