Sundowns included Keagan Dolly to their squad for the 2015–16 campaign as they intended to bolster their team for the league and for the Caf champions league. Dolly with Sundows went on to win the league for the 2015–2016 season, and they automatically qualified for the Caf champions league. Sundowns were eliminated by As Vita in the third round of the Caf Champions league but with the turn of events AS Vita Club were eliminated in the competition due to the finding that they had used an eligible player during the preliminary matches of the 2016 Orange CAF Champions League. Sundowns were reinstated to the competition and with the outstanding performances from Dolly and the whole team, Sundowns went on to win the competition. Dolly, Billiat and Onyango were nominated for best African Inter-Club Player of the Year (Based in Africa) of which was won by Keagan’s teammate Dennis Onyango. Dolly was included in the 2016 Caf Team of the year. With outstanding performances from Dolly it eventually attracted interests from various clubs in Europe. In September 2016 it was announced that Olympiacos F.C. were interested in signing Dolly.

In November 2016, it was reported that Sundowns had taken their star midfielder to the DRC to contest a buyout clause of around €750,000 that was written into his contract, that was signed 17 months prior which Sundowns stated it was too low. The argument was that a mistake was made by Sundowns, and that they wanted it to be rectified to an amount around £1.5 million. Sundowns eventually won the case and the buyout clause was updated to £1.5 million.

On 26 January 2017, it was announced that Dolly had signed with Montpellier HSC.