Gay was born in Fort Worth, Texas, but was raised primarily at Fort Rucker, Alabama, where his father was a U.S. Army non-commissioned officer involved in flight operations. Gay spent much of his youth at the Fort Rucker golf course, first at the practice area, then on the course. Encouraged by a group of military retirees he often played with, he dominated the local tournament scene as a tween.
Gay’s success as a teenager led to his receiving an athletic scholarship to attend the University of Florida, where he played for coach Buddy Alexander’s Florida Gators men’s golf team from 1991 to 1994. During his time as a Gator golfer, the team won four consecutive Southeastern Conference (SEC) championships (1991–1994), and the 1993 NCAA Division I Men’s Golf Championships. As a collegian, he was the SEC Freshman of the Year (1991), a five-time individual medalist, two-time SEC individual champion (1992, 1994), three-time first-team All-SEC selection (1992–1994), and two-time All-American (1992, 1993). Gay was later inducted into the University of Florida Athletic Hall of Fame as a #GatorGreat in 2010.
Gay turned pro in 1994 and joined the PGA Tour in 1999. He picked up his first win on tour at the Mayakoba Golf Classic at Riviera Maya-Cancun in 2008 after 293 PGA Tour starts, with his second win coming at the Verizon Heritage in 2009. He won the event by ten strokes, finishing at 20-under par. The ten-stroke victory is one of the biggest wins in the PGA Tour’s history. His best position on the year-end money list is 13th in 2009. He has featured in the top 50 of the Official World Golf Ranking, ranking as high as 35th in 2009.
Gay was not exempt to play in the 2009 U.S. Open Championship heading into the St. Jude Classic. He was one of seven golfers who could earn the last spot in the U.S. Open by winning the St. Jude Classic, using the “Winners of multiple PGA Tour events since the last Open” exemption. Gay went on to win by five strokes over David Toms and Bryce Molder for his second wire-to-wire win of the season.
In 2013, Gay won for the first time in four years at the Humana Challenge, the fourth victory of his PGA Tour career. He defeated Charles Howell III on the second hole of a three-man sudden-death playoff when he made birdie. This performance helped Gay earn the PGA Tour Player of the Month award for January.
Gay did not play during the 2014–15 season after back surgery and played the next two seasons on a Major Medical Extension. A T6 at the 2017 Valero Texas Open secured his return to the PGA Tour.
In November 2020, Gay won his fifth PGA Tour event (and first in seven years) at the Bermuda Championship when he defeated Wyndham Clark in a playoff.