Azubuike entered the 2005 NBA Draft after his junior year at Kentucky. He was not drafted, but played some preseason games for the Cleveland Cavaliers; he was waived at the end of the preseason and acquired by the Fort Worth Flyers. He excelled in his first season in the D-League, collecting All D-League honors while leading his team to the championship, which they lost to the Albuquerque Thunderbirds.

On August 4, 2006, the Houston Rockets signed Azubuike to their training camp roster, but waived him on October 24 after only two preseason games. He returned to the Flyers, where he averaged 26 points and 5 rebounds, while leading the D-League in scoring and ranking third in three-point field goal percentage.

On January 2, 2007, the Golden State Warriors signed Azubuike to shore up their injury-plagued backcourt. On January 17, while the Warriors' roster was depleted by an eight-player trade in progress, Azubuike played 48 minutes versus the Los Angeles Clippers, scoring 28 points and collecting 7 rebounds. On July 7, the Warriors re-signed him. In 2007–08, he averaged 8 points and 4 rebounds in 21 minutes of action.

On July 17, 2008, Azubuike signed an offer sheet with the Clippers of a three-year deal with Golden State having seven days to match it. The Clippers' offer was matched by the Warriors on July 24, 2008, allowing Azubuike to remain a Warrior.