In 1906 he worked at the Danvers State Hospital in Massachusetts and began to collaborate with Elmer Ernest Southard in the study of anaphylaxis.
Traveling in Europe in summers, Gay became acquainted with Jules Bordet in Brussels who was developing a theory of immunity through serology.
Gay was a faculty sponsor when biology students on campus formed a society called Beta Kappa Alpha.
In 1923 Gay became professor of bacteriology at Columbia University; he introduced a graduate study program leading to a Ph.D. His research turned toward the reticulo endothelial system.
He wrote, "The modern study of viruses, though largely in the hands of bacteriologists, has developed new biological, chemical, and physical approaches, and has brought us closer to an enlarged, though by no means final, interpretation of life itself."