After formally retiring from football in 2007, Claridge moved into media work for the BBC. His experience of the Football League has been used to position him as an expert at that level, though he works across a variety of different football programmes on the BBC. He has since occasionally played semi-professional football for clubs in south England, playing one game for Weymouth in 2009 and signing in 2011 for Gosport Borough.
In October 1988 Claridge moved to Crystal Palace for a brief period before opting to join Division Four team Aldershot for season 88–89. He spent two years with the club before signing with Cambridge United for £75,000. He moved with Cambridge up into the Second Division (which later became the First Division) and stayed with the club for most of the next four years. His tempestuous relationship with manager John Beck, which was exacerbated by Claridge's gambling problems, eventually led to his being sold to Luton Town for only £120,000 in March 1992. With Luton in financial difficulties however he was sold back to Cambridge, for £190,000, just five months later (Beck having left the club by this time).
In January 1994 Claridge moved to Birmingham City, for £350,000. During 1994, he became the first player since Trevor Francis to score 20 goals in a season for Birmingham. Claridge then was transferred to Leicester City for £1.2 million in March 1996. It was at Leicester that Claridge reached the Premiership, scoring winning goals in both the 1996 play-off final that gave Leicester promotion and the 1997 League Cup final replay. In 1997 his autobiography Tales From The Boot Camps, co-written with Ian Ridley, was first published.
In 1998 Claridge joined hometown club Portsmouth on loan and, following a brief period at Wolverhampton Wanderers, signed for Portsmouth on a permanent basis. From 2000 this was as a player-manager, though Claridge's reign lasted for just twenty-five games before he was demoted. After a period on loan with Millwall, he moved to the London club on a free transfer in 2001. He spent two seasons with Millwall before returning to Weymouth as the club's new player-manager. Weymouth just missed out on promotion to the Football Conference. Following Ian Ridley's resignation as chairman, Claridge also left to return to playing league football.
In his later playing career, chronologically, Claridge played for Brighton and Hove Albion, Brentford, Wycombe Wanderers, Gillingham, Bradford City and Walsall. In the summer of 2005 he was appointed as manager of Millwall, but following board-room changes he was relieved of his duties after just 36 days, before his team had played any competitive matches. His replacement was Colin Lee. The decision to dismiss Claridge was taken by new chairman Theo Paphitis, who stated to the BBC that "we had a strong chance of being relegated under Steve". Millwall were indeed relegated from the Championship that season.
At the start of the 2006–07 season Claridge didn't have a club. It was reported that Claridge had offered to play without payment in order to achieve the landmark of 1,000 games. Eventually in December 2006 he re-signed on a month-long contract with Bournemouth and his 1,000th first-team match was a 4–0 defeat to Port Vale on 9 December, at age 40.
On 7 May 2012, Gosport were promoted to the Southern League Premier Division courtesy of Claridge's brace of goals in the play-off final against Poole Town. Having been losing 1–0, Claridge scored a last-gasp equaliser in the first minute of injury time to send the tie to extra-time; Claridge scored Gosport's third goal in the 98th minute as they ran out eventual 3–1 winners, and returned to the Premier Division after a 22-year absence.
Shortly after the playoff final, Claridge said he was contemplating retirement, however he later admitted he was considering playing for a further season following Gosport's promotion.
During Claridge's time at Weymouth, he and Ian Ridley, who was club chairman at the time, were two of the subjects of a BBC documentary called Football Stories; he left Weymouth to began to work in the media, initially for BBC Radio 5 Live. He works for the BBC mainly on the The Football League Show, and stated his opposition to the use of goal-line technology. He also has contributed scouting reports to The Guardian.
In June 2008, Claridge was convicted of dangerous driving and sentenced to six months imprisonment, suspended for two years, after speeding at 100 mph (160 km/h) in "treacherous" conditions. He already had nine points on his licence.