It is part of the Terre Haute Metropolitan Statistical Area.

Clay City was originally called Markland, and under the latter name was platted in 1873 when the railroad was extended to that point.

[7] According to the 2010 census, Clay City has a total area of 0.54 square miles (1.40 km2), all land.

There were 436 housing units at an average density of 807.4 per square mile (311.7/km2).

29.6% of all households were made up of individuals, and 16.7% had someone living alone who was 65 years of age or older.

There were 473 housing units at an average density of 885.2 per square mile (341.8/km2).

33.0% of all households were made up of individuals, and 21.5% had someone living alone who was 65 years of age or older.