Gay became involved with Northamptonshire's academy programme at under-15 level, and was named their Player of the Year in 2018.[6] He was awarded his first professional contract with the club in 2019,[7] making his first-class debut on 23 September against Gloucestershire in that year's County Championship[8] (due to bad weather during the match, he did not play his first innings until the following season). In January 2021, he signed a new two-year deal with Northamptonshire.[9] He recorded his maiden first-class century in the 2021 County Championship, when he scored 101 against Kent at Canterbury on 3 June.[10] He made his Twenty20 debut on 18 July 2021, for Northamptonshire in the 2021 T20 Blast.[11] He made his List A debut on 25 July 2021, for Northamptonshire in the 2021 Royal London One-Day Cup.[12] He made his maiden first-class double century on 13 April 2024, during a County Championship match against Middlesex.[13][14] Finishing with 261 from 401 balls, his score was the highest recorded by a Northamptonshire batsman in a Championship game between the two sides.[15]
In 2024, Gay turned down the offer of a contact extension at Northamptonshire, with Durham and Warwickshire reported to be amongst the clubs interested in signing him.[16][17] He was ruled out of the county's remaining games in the season's One-Day Cup, but not the County Championship.[18] On 5 August, it was confirmed that he had agreed a three-year deal with Durham,[19][20] to whom he was loaned for the final two rounds of the Championship.[21]
