Encouraged by a group of military retirees he often played with, he dominated the local tournament scene as a tween.

Gay's success as a teenager led to his receiving an athletic scholarship to attend the University of Florida, where he played for coach Buddy Alexander's Florida Gators men's golf team in National Collegiate Athletic Association (NCAA) competition from 1991 to 1994.

[5][6] Gay turned pro in 1994 and mostly competed on mini-tours in the United States, winning several tournaments, before qualifying for the PGA Tour in 1999.

[10] In 2013, Gay won for the first time in four years at the Humana Challenge, the fourth victory of his PGA Tour career.

He defeated Charles Howell III on the second hole of a three-man sudden-death playoff when he made birdie.

In November 2020, Gay won his fifth PGA Tour event (and first in seven years) at the Bermuda Championship when he defeated Wyndham Clark in a playoff.