Initially drafted by the Montreal Expos, he played for the San Diego Padres, Pittsburgh Pirates, Boston Red Sox, New York Mets and Seattle Mariners.

On August 26, 2003, Bay was traded to the Pittsburgh Pirates, along with Óliver Pérez and Cory Stewart in exchange for Brian Giles.

With his 26 home runs, Bay broke a Pirates rookies record of 23 set by Johnny Rizzo in 1936 and matched by Ralph Kiner in 1946.

Selected as the 2004 NL Rookie of the Year by The Sporting News, Bay was the second Pittsburgh Pirates player honoured with the award, after second baseman Johnny Ray in 1982.

From May 22 to May 28, he hit home runs in six consecutive games, two short of the major league record held by Dale Long, Don Mattingly, and Ken Griffey Jr.

Following an aggressive public relations campaign by the Pirates in 2006, Bay led all National League outfielders in All-Star voting.

Pearl Jam lead singer Eddie Vedder even urged fans to vote for Bay during a summer concert at Pittsburgh's Mellon Arena.

[12] On July 31, 2008, Bay and a player to be named later (Josh Wilson)[13] were traded to the Boston Red Sox in a three team deal that sent Manny Ramirez to the Los Angeles Dodgers and Andy LaRoche with Bryan Morris to the Pittsburgh Pirates from the Dodgers and Brandon Moss with Craig Hansen to the Pirates from the Red Sox.

In 2009, after a strong first half that included an All-Star selection, Bay went on to lead the Red Sox with a career-high 36 home runs and 119 RBI during the regular season.

[17][18] General manager Omar Minaya, who engineered the deal, originally traded Bay to the Mets in 2002 when he was GM for the Montreal Expos.

On January 5, 2010, Minaya and Jeff Wilpon held a press conference at Citi Field in which Bay was presented with his uniform, number 44 for the Mets.

The Red Sox received the 39th (Anthony Ranaudo) and 57th (Brandon Workman) selections in the 2010 Major League Baseball draft as compensation.

Bay began 2011 on the disabled list with a rib injury[20] and returned to the Mets on April 21 in a game against the Houston Astros.

[23] On August 8, Bay hit his 200th career home run against the San Diego Padres, becoming the third Canadian MLB player after Larry Walker and Matt Stairs to reach this milestone.

[24] Bay hit another grand slam in September en route to winning his fifth career National League Player of the Week Award.

On September 2, Bay hit a grand slam off of Miami Marlins pitcher Mark Buehrle in the first inning of a 5–2 Mets win.

On November 7, 2012, the Mets and Bay agreed to terminate their contract a year early and make the outfielder an unrestricted free agent.

Bay believed it was still in his parents' basement along with his two childhood TV room posters of Red Sox greats Jim Rice and Carl Yastrzemski.