Though apparently always a Roman Catholic in belief, Day submitted to the assumption by Henry VIII of ecclesiastical supremacy.

Consecrated Bishop of Chichester in 1543 by Thomas Cranmer, he firmly opposed the spread of the Protestant Reformation under Edward VI.

In the following December, Day was brought before the Council to answer for his disregard of an injunction to have "all the altars in every church taken down, and in lieu of them a table set up", – himself preaching on the occasion, if possible in his cathedral.

From the Fleet, he was transferred in June 1552 into the keeping of Thomas Goodrich, Bishop of Ely and at that time Lord Chancellor, in whose custody he remained until the death of Edward VI.

Contemporary chroniclers record that Cranmer conducted Edward's funeral "without any cross or light", and "with a communion in English", though "the Bishop of Chichester preached a good sermon".