Sunset Bay is a hamlet and census-designated place (CDP) in the town of Hanover in Chautauqua County, New York, United States.

The Seneca Nation in 2012 declared the longstanding presence of the non-native residents an "illegal occupation" and drove them out of Sunset Bay.

[3] Sunset Bay is located on the shore of Lake Erie in the northernmost point of the town of Hanover and of Chautauqua County.

It is bordered on the northeast by Cattaraugus Creek, which enters Lake Erie just north of an embayment called Sunset Bay.

Just east of the community is a short connector road from US 20/NY 5 to Exit 58 on the New York State Thruway (Interstate 90).