For several years he studied under a private teacher in Belleville, Illinois; he attended Augusta College in Kentucky from 1833–34 and returned to St. Louis, where he was engaged in commercial affairs from 1839 to 1860.

Although he had no formal business education, Gay was a dedicated student of industrial and political economy from early adulthood.

Gay was originally opposed to secession from the Union, but once the American Civil War began, he stood firmly behind the Southern Confederacy.

Although not inclined towards politics, Gay was persuaded in 1884 by his friends and associates to run for a seat in the U.S. House of Representatives.

He defeated William Pitt Kellogg, whom he portrayed as the last carpetbagger in Louisiana, in the election and became a member of the 49th Congress as a Democrat.