He grew up in the village of Steeple Claydon, Buckinghamshire, while attending the Royal Latin School in Buckingham. His younger brother, George Baldock, is contracted to Sheffield United.
Baldock was born in Buckingham, Buckinghamshire. Having joined the Wimbledon F.C. youth system following the club's 2003 relocation to Milton Keynes, Baldock signed as a trainee in July 2004, just after the club renamed itself as Milton Keynes Dons. Danny Wilson handed Baldock his first team debut on 20 December 2005 in the 2–1 Football League Trophy loss to Colchester United as a late substitute in his only appearance of the season.
Martin Allen as Dons manager for the 2006–07 season gave Baldock two further games in the first team in his only year in charge. Baldock failed to score as a substitute in either game as the Dons lost 4–1 away to Brighton & Hove Albion in the Football League Trophy and drew 1–1 at home to Mansfield Town.
As Paul Ince took the role as manager, Baldock became more involved in matches, first making a substitute appearance in the FA Cup away to Crewe Alexandra, before making five substitute appearances in League Two. He also made his full debut in the Football League Trophy victory over Gillingham, and made two further appearances as a substitute, including one in the Johnstone's Paint Trophy final at Wembley Stadium on 30 March 2008, helping MK Dons win their first ever trophy.
As new manager Roberto Di Matteo joined MK Dons, Baldock made his break-through season as he became a regular in the first-team, scoring his first senior goal in the Dons' 2–1 loss against Reading in a friendly match at stadium:mk on 19 July 2008. He then made his first competitive start in the MK Dons' opening day League One defeat to Leicester City on 9 August 2008.
Baldock's first competitive goal came as the Dons beat Norwich City 1–0 in the Football League Cup at stadium:mk on 12 August 2008. On 12 March 2011, having been named in the starting line-up to face Colchester United away, he scored his first ever senior hat-trick with all three goals coming in the second half to overturn a 1–0 half-time deficit. The final score was 3–1.
On 15 May 2011 Baldock scored a long range free-kick in the 2011 Football League play-offs Semi-Final First Leg as MK Dons beat Peterborough United 3–2 at stadium:mk. MK Dons lost in the second leg as Peterborough gained promotion, beating Huddersfield Town in the final.
On 29 June 2011, Peterborough United had a £1.2 million bid accepted for Baldock, however, after meeting with the club, Baldock decided to decline the offer to join Peterborough and pledged his future to MK Dons.
In August 2011 at the start of the 2011–12 season, Baldock scored six goals in six appearances including a hat-trick against newly promoted side Chesterfield in a 6–2 win and a goal in a 4–0 away victory in the League Cup against Premier League side Norwich City. Fittingly his last goals for the club came against the opponents he scored his first goal against, Norwich
On 26 August 2011 Baldock joined West Ham United for an undisclosed fee on a four-year contract with an option for an additional year. He was allocated the number 7 shirt. Baldock made his West Ham debut on 17 September 2011 coming on as a 74th-minute substitute for Henri Lansbury in a 0–0 draw away with Millwall. His first two West Ham goals were scored in 4–0 win on 15 October 2011 against Blackpool at Upton Park. He then got his second two-goal haul in successive home matches helping the Hammers to a 3–2 victory over Leicester City. Despite scoring five goals in his first six starts, an injury reduced his first team opportunities, as did the arrival of Nicky Maynard and Ricardo Vaz Tê.
Baldock joined Bristol City in August 2012 for an undisclosed fee, signing a three-year contract. He made his debut on 25 August, in a 4–2 win against Cardiff, in which he scored and assisted a goal. He scored again on 15 September, in a 5–3 defeat at home to Blackburn Rovers and a brace in the club's following match, a 2–1 win away at Peterborough to take his tally to four goals in four matches for Bristol City. Sam finished the 2012/2013 season with 10 goals but couldn't help Bristol city survive as they were relegated to League 1. During the pre season Baldock failed to score however fellow striker Steven Davies moved to Blackpool leaving Baldock as the only recognised goal scorer at Bristol City. Sean O'Driscoll made Baldock Captain at the start of the season and his first goal came in a 2–0 away win in the first round of the Capital One Cup. He scored a brace against Coventry in a thrilling game which city lost 5–4. He continued his great start by scoring his 2nd brace of the season against old club MK Dons. He chose not to celebrate either goal after saying it was an emotional day. Baldock finished the League One 2013–14 season with the Golden Boot as top scorer with 24 goals.
On 27 August 2014, Baldock signed for Brighton & Hove Albion for an undisclosed fee in the region of £2m.
On 26 August 2009, Baldock was called up to an initial 30-man squad for the 2009 FIFA U-20 World Cup in Egypt. Later, on 11 September, he made the final squad of 21 players, MK Dons chairman Pete Winkelman commented: "The standard of players he will now be rubbing shoulders with underlines what a wonderful talent he is."As of 30 April 2017.
Milton Keynes DonsFootball League Trophy: 2007–08
Football League Two: 2007–08