After a period as Bristol City's youth team coach Rosenior's first managerial post was with Southern League Premier side Gloucester City. His first full season in charge saw Gloucester lose a 3rd replay in the FA Trophy semi-final to Dagenham and Redbridge and defeat on the final day of the season to Salisbury City cost a place in the Football Conference with local rivals Cheltenham Town being promoted. Rosenior left the following season, taking over Bristol City's reserve side.
Rosenior returned to non-league, managing Merthyr Tydfil before moving to Torquay United from July 2002 to January 2006, when he left the club by mutual consent after the 3-1 home defeat to Rochdale. In his second season in charge he took Torquay to promotion to Football League One, but was unable to keep them there, experiencing relegation on the last day of the season. The return to Football League Two heralded the departure of Alex Russell and Adebayo Akinfenwa, two of the club's best players. After languishing near the bottom of the league for half the season, Leroy eventually left the club by mutual consent.
In March 2006, he was named first team coach at Shrewsbury Town, acting as assistant to manager Gary Peters. He left in June 2006 to take up the managerial position at Brentford, succeeding Martin Allen. Twenty years earlier he had replaced Allen when he came on as a substitute for in the 1986 League Cup final. Five months after his appointment, Rosenior left the club., after a run of 16 games without a win, which culminated in a 4-0 home defeat to Crewe Alexandra.
He was scheduled to take charge of the Sierra Leone national side for a friendly against Leyton Orient in May 2007, which they won 4-2. It was announced on BBC Radio 5 Live on 27 May 2007 that he would indeed take charge of Sierra Leone in their upcoming African Nations Qualifiers.
Rosenior returned to Torquay United as head coach on 17 May 2007, replacing Keith Curle, but was reportedly sacked after 10 minutes, which gave him the record of the shortest managerial reign in the history of English football. This was because at the same time Torquay were bought by a local consortium who installed Colin Lee as Chief Executive, Lee then appointed former Gulls player and Exeter City assistant manager Paul Buckle as manager.