[8] Prior to his political career, Gay owned a small trucking company and managed his family's grazing property at Crookwell.

Following the resignation of Barry O'Farrell as Premier,[11] and the subsequent ministerial reshuffle by Mike Baird, the new Liberal Leader,[4] in April 2014 the name of Gay's portfolio changed to Minister for Roads and Freight;[12] the responsibilities as Vice-President of the Executive Council and Leader of the Government in the Legislative Council were added in May 2014;[5][7] and as Minister for the North Coast added in October 2014.

[6] Following the 2015 state election, Gay's portfolio responsibilities were amended slightly and renamed as Minister for Roads, Maritime and Freight.

[32] He retired from politics at the end of July and took up a paid advisory role with private transport and infrastructure consultancy MU Group.

[34] Gay was appointed as a Member of the Order of Australia in the 2023 King's Birthday Honours for "significant service to the people and Parliament of New South Wales, and to the community".