Wool Bay (formerly Pickering) is a locality and a former government town in the Australian state of South Australia on the east coast of southern Yorke Peninsula.

It is located between Stansbury and Coobowie on Yorke Peninsula, approximately 220 kilometres from Adelaide by road, but only just over 60 km due west across Gulf St Vincent.

The beach of Wool Bay features a permanently moored pontoon which is maintained by the local progress association, several sun shelters and a concrete boat ramp.

Community lobbying for a jetty commenced in 1879: the people believed that deep water in the bay would provide safer anchorage than other nearby locations.

Wool Bay is located in the federal Division of Grey, the state electoral district of Narungga and the local government area of Yorke Peninsula Council.