In the club's first season in the highest division Dury guided Zulte-Waregem to a sixth place in the league as well as to winning the 2005–06 Belgian Cup, earning qualification to the Europa League. Following these achievements, two personal honours were bestowed on him: he was voted coach of the year 2006, and West-Flemish personality of the year by the watchers of the regional television chains Focus and WTV in 2006. In 2007 he signed a professional contract as coach of the club while giving up his previously-held job as detective. In August 2009 he became the assistant of Frank Vercauteren, then-coach of the national Belgian team, while remaining coach of Zulte-Waregem.
In June 2010 rumours were confirmed that Dury would have contract talks with KAA Gent to become the club's new coach, which was confirmed on 10 June, the date on which the transfer became official. On 14 May 2011, the Belgian press reported that Dury's contract would be terminated after Gent's final match of the season, against Club Brugge. Having finished the regular season in third place, Gent had failed to win any of their first nine playoff matches (out of ten in total), meaning they could only finish in 5th or 6th place, with no chance of qualifying for a 2011–12 European competition.
After half a year working for the Royal Belgian Football Association working first as national technical director and then as head coach of the Belgium U-21, he returned to Zulte Waregem as head coach in the last week of 2011. In the 2012–2013 season he finished second in the league with the club at the end of which he was again chosen as coach of the year.