Curry was signed as an undrafted free agent by the Pittsburgh Penguins on July 1, 2007. He was expected to compete with David Brown for the starting goaltending job on the Wheeling Nailers in the 200708 season.
In December 2007 he was named AHL Rookie of the Month, posting a GAA of 1.42 and .939% save percentage. Throughout the rest of the regular season, he established himself as the starter for the team, and was named to the AHL All-Rookie team. In the Calder Cup playoffs, Curry was solid, and backstopped his team to the finals, eventually losing to the Chicago Wolves in 6 games.
Curry was selected to travel to Sweden with the Pittsburgh Penguins as a backup to Marc-Andre Fleury and Dany Sabourin at the beginning of the 200809 NHL season but did not play. He was recalled in November due to an injury to Fleury and saw his first NHL time On November 26, when he entered a game in the second period to make 11 saves. He would make his first NHL start on November 28 in a loss to the Buffalo Sabres, though he stopped 28 of 32 shots.