Kay was educated at Craigclowan Preparatory School in Perth, Scotland, and at nearby Glenalmond College.
[1]: 33 [2] Kay became known to the public when he won the newcomer's competition, 'So You Think You're Funny', at the Edinburgh Festival Fringe in 1989.
In conjunction with filmmaker Archie Lauchlan, he also released That Phil Kay Video onto the retail market in 2000.
This unique collection of Kay's live standup gigs was re-released in 2014 via Video On Demand).
19 November 2009, he appeared as the stand-up act on the BBC Three television show Russell Howard's Good News.