"If you want to develop and test yourself among the best footballers in world football, then I would encourage more South African players to go abroad," Dolly told BBC Sport.
The 24-year-old joined Montpellier from Downs in January despite the best efforts of coach Pitso Mosimane to get him to stay.
"I felt like I wanted to challenge myself, embrace new culture, new football and face something completely different,” Dolly said.
Dolly is trying to open doors for PSL players in Europe the same way Steven Pienaar did for many players before.
"You look at Steven Pienaar [former Everton and Tottenham midfielder] who has spent over 15 years in Europe; you can only draw inspiration from him. I feel like I am representing my country in France. So, I just try to do my best so that I can open doors for more South African players," Dolly said.
The Westbury-born starred in Bafana's 2-0 win over Nigeria last Saturday in the 2019 Afcon qualifier opener in Uyo.
The team comprised mostly of PSL players with only six plying their trade in Europe.
To narrow the gap with the west African nations, who have a number of players in Europe, Dolly urged the PSL players to leave their comfort zones.
"Don't get me wrong, South African players have benefited immensely from playing in the Caf Champions League and Confederation Cup, but we have to change the mentality that we struggle to settle in Europe," Dolly continued.
"Our players must be mentally strong, if your mentality isn't right you won't succeed anyway and that goes with life as well. You need to be prepared for challenges and I think with South Africa we tend to be complacent, enjoy living at home where the spotlight is on us, so we don't want to leave the comfort zone,” Dolly concluded.