Day has had several one-man shows at the Edinburgh Festival Fringe: "Deaf in the Afternoon" (2002), "A Night at the Pictures" (2005), "Comprehensive Steve Day" (2006), "A Night at the Pictures (2007), Should I Stay or Should I Go?
In 2005, Day performed as part of "Abnormally Funny People", with Steve Best, Liz Carr, Tanyalee Davis, Chris McCausland and Simon Minty.
He still makes occasional performances as part of the group, most recently a promotional video for the Disability Rights Commission.
Day has appeared on and written for several BBC Radio 4 shows.
He has three children and two step-children with his wife, former Olympic athlete, Georgina Oladapo Day.