Cole is a product of the West Ham United youth system. He was long touted as the hottest prospect in English football, with Manchester United reportedly offering to pay £10 million for his services as a 16-year-old. Playing in a mould similar to former England favourite Paul Gascoigne, he progressed through the West Ham ranks before making his first-team debut aged 17 on 2 January 1999 in an FA Cup third round tie against Swansea City, and eight days later made his Premier League debut, away to Manchester United. In 1999, Cole was part of West Ham's victorious FA Youth Cup-winning squad (alongside Michael Carrick), defeating Coventry City 9–0 on aggregate in the final. Cole played only eight Premier League games in his first season but in the following season, he made 22 Premier League appearances, was a member of the West Ham team which won the 1999 UEFA Intertoto Cup, scored his first goal for West Ham, in a 3–2 League Cup win at Birmingham City on 30 November 1999 and scored his first Premier League goal, in a 5–4 home win against Bradford City, on 12 February 2000. In January 2003, then West Ham manager Glenn Roeder gave Cole the club captain's armband at the age of 21. Cole's last game for West Ham came on 11 May 2003 in a 2–2 draw with Birmingham City, a game which saw West Ham relegated from the Premier League. Cole won the "Hammer of the Year award" for 2003.