[6] Delay spent his first professional season with the rookie–level Bristol Pirates and Low–A West Virginia Black Bears, hitting .228 in 34 combined appearances.

In June 2022, Delay had decided he would retire from professional baseball during Indianapolis's upcoming trip to play the Gwinnett Stripers, near his hometown in Johns Creek, Georgia.

[13] He made his major league debut on June 14 in the first game of a double header against the St. Louis Cardinals.

[15] On July 7, Delay recorded his first career hit, an RBI double off of Cincinnati Reds starter Mike Minor.

[16] On July 22, Delay hit his first career home run, a solo shot off of Miami Marlins starter Braxton Garrett.

On March 28, 2023, the Pirates announced that Delay had made the Opening Day roster as the backup catcher behind Austin Hedges.