Due to his position in eastern Europe as a reporter for many years, Day was able to provide the U.S. government with tips about Soviet espionage agents.

[1] He followed his father, who was editor of the New York Morning Telegraph, into journalism, and worked for The Day Book, a tabloid newspaper aimed at the working-class market which campaigned on behalf of labor unions and the right of women to vote.

On August 13, 1917, Day enlisted in the United States naval aviation and was honorably discharged at the end of World War I.

When he arrived in Riga, Latvia, he received a Soviet visa and an offer from the European Director of the Chicago Tribune, Floyd Gibbons, to be that newspaper's Northern Europe Correspondent.

Three months before the United States presidential election of 1936, the Tribune headlined one of his stories, "Moscow orders Reds in U.S. to back Roosevelt".

[citation needed] Following the annexation of the Baltic States by the Soviets, Day relocated to Sweden to continue reporting as the Tribune's Stockholm correspondent.

[7] As hostilities between Finland and the Soviet Union were drawing to a close, Day was convinced that the West had to be warned of Communist expansion into Eastern Europe behind the advancing Red Army.

His broadcasts denounced President Franklin D. Roosevelt and the United States' alliance with the USSR, and he blamed Jews for Soviet atheistic Communism.

Day stated his position as: "I also feel that in fighting the Jewish-Bolshevik regime of Russia that Germany is performing a service for Western civilization which will be properly appreciated and recognized in the future.

[12] Day was arrested by U.S. occupation forces in Germany in May 1945 and detained, along with Mildred Gillars and Herbert John Burgman, by the Army Counterintelligence Corps at Camp King, Oberursel, until he was conditionally released on December 24, 1946.

He was rearrested pending treason charges on January 12, 1949, but the U.S. Department of Justice (DOJ) dropped the case soon after, due to other agencies seeking to get Day's help to identify potential Soviet espionage agents who had entered the United States.