Siim started his career with Danish side AGF. In 2001, he signed for Danish side OB. In 2004, he was sent on loan to Danish side Sønderjyske. In 2005, he signed for Icelandic side FH. After that, he signed for Danish side Randers. In 2006, he returned to Icelandic side FH. On 10 August 2006, he debuted for the club against Fylkir.