The forward played college basketball for the UConn Huskies before being selected eighth overall in the 2006 NBA draft by the Houston Rockets; he was traded to the Memphis Grizzlies days later.

Although Eastern Tech was a Blue Ribbon academic institution, Gay's parents were concerned about his college preparation.

[12] Although it violated no standing rule at the time,[13] media observers and Connecticut staff considered it directly connected to the recruitment.

[11] As a freshman at Connecticut in 2004–05, Gay was a co-winner (with Jeff Green of Georgetown) of the Big East Conference Rookie of the Year award after averaging 11.8 points, 5.4 rebounds and 1.5 assists on .462 shooting in 28.8 minutes in 31 games.

[16] Before his sophomore season began, Gay was nominated as Big East Preseason Player of the Year, along with Syracuse guard Gerry McNamara.

Gay led the Huskies to a 30–3 record and finished his college career with 20 points and six rebounds in a career-high 42 minutes in an NCAA Elite Eight loss to George Mason on March 26.

[18] Gay was selected with the eighth overall pick in the 2006 NBA draft by the Houston Rockets, who then traded him and Stromile Swift to the Memphis Grizzlies in exchange for Shane Battier on July 12.

He participated in the 2008 Rising Stars Slam Dunk Contest, and finished runner-up to Hedo Türkoğlu for the 2007–08 NBA Most Improved Player Award.

He made a baseline jumper as time expired in Memphis' home opener on October 31 against the Orlando Magic, giving the organization its first home-opening win since the 2000–01 season.

[22][23] He emerged as one of the league's premier small forwards in 2010–11, posting career highs in seven major statistical categories before missing the final 23 regular-season games and all of the 2011 Playoffs due to a left shoulder subluxation sustained on February 15 against the Philadelphia 76ers.

[15] Gay watched from the sidelines as the Grizzlies defeated the top-seeded San Antonio Spurs in a first round upset before falling to the Oklahoma City Thunder in seven games in the Western Conference semi-finals.

He posted 2.3 assists and .455 shooting in 65 games (all starts) and ranked 17th in the NBA in scoring, 16th in steals (1.46), sixth in minutes, and seventh in dunks (110).

He made his first postseason appearance in 2011–12, averaged a team-high 19.0 points, 6.6 rebounds and 1.4 assists on .421 shooting in 39.9 minutes in seven games against the Los Angeles Clippers in the first round of the 2012 Western Conference Playoffs.

[15] On December 9, 2013, the Raptors traded Gay, along with Quincy Acy and Aaron Gray, to the Sacramento Kings in exchange for Greivis Vásquez, John Salmons, Chuck Hayes and Patrick Patterson.

[32][33] Gay appeared in just one of the Kings' final nine games of the 2014–15 season after experiencing headaches due to a concussion he received when he had a collision with his ex-teammate, Marc Gasol of the Memphis Grizzlies, on March 30.

[36] On January 18, 2017, Gay sustained a full rupture of his left Achilles tendon in the Kings' 106–100 loss to the Indiana Pacers and subsequently missed the remainder of the season.

[40][41] On October 29, 2018, Gay scored 15 points, grabbed 11 rebounds, and recorded six steals in a 113–108 overtime win against the Dallas Mavericks.

[52] In 2010, Gay helped the United States win its first FIBA World Championship gold medal since 1994, averaging 7.0 points, 2.9 rebounds and 1.0 steals in 13.4 minutes in nine games for the undefeated Americans.

[53] He was also a member of the national team in 2014 that collected the gold medal at the FIBA Basketball World Cup after another undefeated campaign.