He died at his residence in Weymouth Street, London, on 24 August 1834; his stock of plates and prints was sold the following July.
Between 1801 and 1834 he executed 335 plates, a large proportion of which were portraits of contemporary celebrities, from pictures by William Beechey, John Hoppner, Thomas Lawrence, James Northcote, Joshua Reynolds, and others.
Say's subject-plates include Correggio's Holy Family with St. Catherine, Murillo's Spanish peasant boys, Raphael's Madonna di San Sisto, and William Hilton's Raising of Lazarus, He engraved one of Reynolds's two groups of members of the Dilettanti Society, and compositions by Henry Thomson, Henry Fradelle, Alfred Edward Chalon, and others.
In 1820 Say scraped a small portrait of Queen Caroline after Arthur William Devis, the first attempt made in mezzotint on steel.
Of these the eldest, Mary Anne, became the wife of John Buonarotti Papworth, and the youngest, Leonora, married William Adams Nicholson.