[1][2][3] In 2003 Clay traveled to Russia with the gypsy punk band Menlo Park to make his first documentary for Britain's Channel 4 entitled Greetings From Beartown.
[4] In 2005 he wrote and directed a short film for Ritz Fine Jewellery titled Carousel, starring Chloe Sevigny.
[6][7][8] In 2011, Clay re-worked Mick Rock's music video for David Bowie's "Life On Mars".
The installation was a part of Vice Media and Intel's Creators Project series, traveling globally under the name 'Life On Mars Revisited'.
[9][10][11] Clay has collaborated with his wife, Karen O, including directing a music video for her first solo record, Crush Songs.