Venglinsky began his career with the Ukrainian powerhouse Dynamo Kyiv, but made a name for himself after moving to Dnipro Dnipropetrovsk. He has become a favorite of local Dnipropetrovsk and of Ukrainian fans after scoring a couple of impressive and decisive goals in Ukrainian Championship and UEFA Cup for Dnipro Dnipropetrovsk. Venglinsky is renowned for his numerous injuries that have hampered his career at certain points in his life. In 2005, he left Dnipro for AEK FC in Greece, but was unable to solidify a first-place spot at the club. After a full-season with AEK, Oleh returned to Ukraine to sign with Chornomorets Odessa for three years.