Allenby now plays primarily in the U.S. on the PGA Tour. He earned exempt status for 1999 by finishing 17th at the 1998 Qualifying School. He had a disappointing first season in America, coming 126th on the money list, but came good in 2000 when he won the Shell Houston Open and the Advil Western Open. He claimed another pair of wins the following season. In both of those years he came 16th on the money list. He has not won since but finished in the top 50 each year from 2002-2004. His performances in the major championships have been somewhat disappointing; his highest placing in a major is tied seventh at the 2004 U.S. Open. In 2005 he became the first golfer to win the “triple crown” of the Australian Masters, Australian PGA and Australian Open in the same year.
Allenby played for the International Team in the Presidents Cup in 1994, 1996, 2000, 2003 and 2009. After posting a 2-2-1 record in the 2009 Presidents Cup, Allenby accused Anthony Kim of being ill-prepared for his Sunday singles match, in which Allenby lost 5 and 3. In December 2009 Allenby became the first Australian to win the Nedbank Golf Challenge in South Africa, defeating Henrik Stenson in a playoff. It was his first professional win in four years, but he did not have to wait long for the next as he returned home to claim his fourth Australian PGA Championship title the following week.
Allenby missed the cut in the 2011 Masters Tournament by one stroke after bogeying the 18th hole of the second round. In February 2012, Allenby missed an opportunity to end an eleven-year drought on the PGA Tour, when he took a two stroke advantage to the 72nd hole of the Mayakoba Golf Classic. He hit his tee shot into the trees on the right and proceeded to make double bogey to fall into a playoff with rookie John Huh. He lost out at the eighth extra hole when he could only bogey the par three 10th, leaving Huh with a tap in par for the tournament. Both players had made par on all seven previous holes throughout the playoff until this point.
Allenby is a patron and spokesperson for Challenge Cancer Support Network, which has raised more than $9 million since 1993 for children with cancer and blood disorders. He resides in Jupiter, Florida. On 22 June 2000, Allenby was awarded the Australian Sports Medal.