DeLay studied for one year at the Oberlin Conservatory with Raymond Cerf, a student of César Thomson, and transferred to broaden her education at Michigan State University, where she earned a B.A.

She then entered the Juilliard Graduate School, where she studied with Louis Persinger, Hans Letz, and Felix Salmond.

She was the founder of the Stuyvesant Trio (1939–42) with her cellist sister Nellis DeLay and pianist Helen Brainard, and she played with Leopold Stokowski's All-American Youth Orchestra.

It was held by DeLay until the time of her death in March 2002, and a year later Itzhak Perlman was appointed to this position at Juilliard.

For an in-depth profile of Miss DeLay, see Helen Epstein's book Music Talks, now on Kindle.