Nor was the move from Perth most challenging, or the fact his family still resides on the other side of the Nullarbor.
It was the incredible dedication it takes to be an elite sportsperson that shocked him the most, with even the most intricate details a focus of the club's never-ending specialist staff.
"It's very surprising. When you watch players on TV as a kid, you think they just play footy and you don't realise what goes on behind the closed doors and all the training you have to do," he told collingwoodfc.com.au.
"Ice baths, diet … the diet is a real big factor, and I wasn't used to that."
Eating the right food and getting his skinfolds where they need to be is an ongoing process for Cox, who didn't have to worry about nutrition before.
"They just want me under 90kg, and I'm around 91 and I just can't seem to get under," he said.
"I do a lot extra and it just won't seem to come off me. I've just got to work a bit harder and eat the right food, which is the hard part.
"When I was at home, I had no advice with the eating bit and then coming over here and getting chucked straight in the deep end with the diets, I'm starting to get the hang of it now with eating salads and lean meat, and it's starting to come off now.
"And, I'm prepared to do it all, whatever it takes to get a regular game and a regular spot. No one wants to go home a couldabeen – you want to stay and give everything you've got."
Cox's early career at Collingwood has endured its highs and lows. First, he earned a spot on the senior list after spending a year as a rookie. Then, he was suspended for a week during 2007 for ignoring a team directive and leaving an Adelaide hotel after an interstate game.
This season, the 22-year-old has played just three senior games, owing to the impressive form of Collingwood's back six.
"It's more frustrating than hard, waiting for a senior game, because you see how well they're going and you can't afford to have a bad game," he said.
"If they do injure themselves, you have to have your best foot forward to get up and play in the ones.
"You've just got to keep doing what you've got to do to get back into the ones, and you've got to listen to what the coaches tell you they need and then you hopefully have a chance to come up."
His taste of senior football against the Sydney Swans last weekend has inspired Cox to aim to make a position in defence his very own next season.
And he's well aware that two Collingwood defenders – Shane Wakelin and Simon Prestigiacomo – are nearing the end of their careers.
"I really want to have a spot. Wakes is playing some really good football and he could probably go around again," Cox said.
"I don't know if I've done enough; (coach) Mick (Malthouse) wants perfection and you've just got to do that.
"I've just got to worry about my weight, which is a bit of a factor, so I've got to get that down and my fitness up, so once I've done that I can work on getting a secure spot.
"It was great to get back into the senior side. You don't get drafted to play in the seconds, and all you want to do is play in the ones.
"I took that chance so hopefully I can back it up this week against the Dockers."
