He lived in Paris, but he returned to Scotland in 1907, joining the 3rd Battalion of the Gordon Highlanders as an officer and managing his estates.

[4] Hay was transferred from the Militia to the 1st Battalion of the Gordon Highlanders, and saw action early in the First World War in Belgium.

[5] After recovering from his wound, Hay joined the War Office as head of the MI1(b), the cryptography department in 1915.

[6][7] On the conclusion of the First World War, Hay returned to Aberdeen; however, he also spent much of his time in London researching in the archives of the British Museum.

[10] Clifford Williamson (2016) notes that much of its negative reception came from the anti-Catholicism which Hay criticised, and that Catholic intellectuals such as Hilaire Belloc considered it to be an important work of scholarship.

[9] In 1934, Hay published The Jesuits and the Popish Plot, which centred around the Popish Plot, a nonexistent but widely believed Catholic conspiracy to assassinate Charles II of England and to install his brother, the future James II and VII to the throne.

[11][12] The Holocaust greatly disturbed Malcolm Hay, and he condemned the Pope for his silence on the genocide of the Jews.

He married his second wife, writer, philanthropist and public speaker Alice Ivy Hay (née Wigmore) in 1956.