Bailey was selected by the Milwaukee Brewers in the 16th round (475th overall) of the 2005 Major League Baseball draft, but decided to return to Wagner for his senior year and earn a degree in business administration.

After a final line of 26 saves (9th in the AL) and a 1.84 ERA and a 0.876 WHIP, Bailey was named 2009 American League Rookie of the Year on November 16, 2009.

[5] On December 28, 2011, Bailey and Ryan Sweeney were traded from Oakland to the Boston Red Sox for Josh Reddick and two minor leaguers.

[8] On April 4, 2012, it was announced that Bailey would require reconstructive surgery on his right thumb and that he would begin the 2012 season on the disabled list.

[9] Bailey made his 2012 debut with the Red Sox on August 14, pitching a third of an inning in a loss to Baltimore.

[5] Bailey compiled 8 saves, a 3–1 record and a 3.77 ERA in 30 appearances until he suffered a shoulder injury that kept him from playing for the rest of the season.

[16] Bailey signed a minor league contract with the Philadelphia Phillies in December 2015, receiving an invitation to spring training.

Bailey was called up in late August and collected six saves for the Angels in 12 games, with a 2.38 ERA and a 0.971 WHIP.

[22] In November 2023, Bailey was hired as pitching coach by the Red Sox, replacing Dave Bush, who had been dismissed following the 2023 season.

[23][24] Bailey serves as Director of Development for the Strike 3 Foundation, a non-profit charity dedicated to pediatric cancer research, founded by former Athletics and Red Sox teammate Craig Breslow.