Waghorn joined Leicester initially on loan in August 2009 from hometown club Sunderland. The striker was mainly used as an impact player, starting his first eleven games on the bench, but gradually worked his way into the starting eleven and went on to score 12 goals that season from 28 starts. It earnt him the club's Young Player of the Season award. The campaign wasn't all happy for Waghorn, though, as he missed the last penalty kick in the Championship play-off defeat to Cardiff City.

That penalty miss wasn't enough to put City off signing Waghorn on a permanent deal the following season,for a fee of £3 million. It was reported that Sunderland needed to sell players to raise funds for the signing of Asamoah Gyan, and Waghorn was one of the players to go. He couldn't repeat his loan form in the 2010-11 season, scoring just four goals in 32 appearances. His first-team spot wasn't guaranteed following the arrival of Sven-Goran Eriksson, and some additional strikers, and his campaign came to a premature end when he suffered a hamstring injury.

Following in the footsteps of fellow Foxes Matty Fryatt and Jack Hobbs, Waghorn was signed on-loan by former City manager Nigel Pearson at Hull City for the start of the 2011-12 campaign. He would stay initially until January 2012.