Thiam started his senior footballing career in 2012 in Hungary with Kaposvári Rákóczi, making 25 appearances and scoring 4 goals in two years with the Nemzeti Bajnokság I team; he also played 13 times for the team's reserves in the second tier Nemzeti Bajnokság II.
In 2014, Thiam joined fellow Hungarian top-flight club MTK Budapest and subsequently made his debut on 26 July in a league match against Pécsi MFC.
47 appearances and 3 goals in his first two seasons came prior to him leaving MTK to complete a loan move to Major League Soccer club Chicago Fire on 4 May 2016.
He scored one goal, vs. Philadelphia Union, in twenty games in the United States before returning to Hungary.

On 25 January 2017, Thiam joined Süper Lig side Gaziantepspor on a three-and-a-half year contract.

On 21 August 2017, Russian club FC Dynamo Moscow announced the signing of Thiam on a one-year loan deal from MTK Budapest (as Gaziantepspor did not activate a buyout option).
The Dynamo contract included a buyout option.
The loan was terminated on 12 February 2018 by mutual consent after Thiam failed to establish his position in the Dynamo squad.

On 14 February 2018, he was loaned to the Bulgarian club Levski Sofia until the end of the season.
On 2 June 2018, Thiam was permanently transferred to Levski, where he established himself as a regular starter.
On 28 June 2020, he captained the team in the 2:1 away win over Beroe in a First League game, which had been announced beforehand to be his last match for the "bluemen".
Thiam started his senior footballing career in 2012 in Hungary with Kaposvári Rákóczi, making 25 appearances and scoring 4 goals in two years with the Nemzeti Bajnokság I team; he also played 13 times for the team's reserves in the second tier Nemzeti Bajnokság II. In 2014, Thiam joined fellow Hungarian top-flight club MTK Budapest and subsequently made his debut on 26 July in a league match against Pécsi MFC. 47 appearances and 3 goals in his first two seasons came prior to him leaving MTK to complete a loan move to Major League Soccer club Chicago Fire on 4 May 2016. He scored one goal, vs. Philadelphia Union, in twenty games in the United States before returning to Hungary.
On 25 January 2017, Thiam joined Süper Lig side Gaziantepspor on a three-and-a-half year contract.
On 21 August 2017, Russian club FC Dynamo Moscow announced the signing of Thiam on a one-year loan deal from MTK Budapest (as Gaziantepspor did not activate a buyout option). The Dynamo contract included a buyout option. The loan was terminated on 12 February 2018 by mutual consent after Thiam failed to establish his position in the Dynamo squad.
On 14 February 2018, he was loaned to the Bulgarian club Levski Sofia until the end of the season. On 2 June 2018, Thiam was permanently transferred to Levski, where he established himself as a regular starter. On 28 June 2020, he captained the team in the 2:1 away win over Beroe in a First League game, which had been announced beforehand to be his last match for the "bluemen".
Khaly Thiam