Born in Geneva, Switzerland, the fourth son of George Hay, 8th Marquess of Tweeddale and Lady Susan Montagu (daughter of the William Montagu, 5th Duke of Manchester), Hay joined the Royal Navy in 1840. He was posted to the sixth-rate HMS "Vestal" on the China Station in 1842 and saw action during the First Opium War. Promoted to lieutenant on 19 December 1846, he joined the steam frigate HMS "Spiteful" at Woolwich that month before transferring to the second-rate HMS "Powerful" in the Mediterranean Fleet in April 1848. He was promoted to commander on 28 August 1851 and given command of the sloop HMS "Wasp" in the Mediterranean Fleet in August 1852; he went ashore with the Naval Brigade and took part in the defence of Eupatoria in November 1854 and the Siege of Sevastopol in Spring 1855 during the Crimean War. He was wounded in the latter engagement and was appointed to the French Legion of Honour, 5th Class and the Turkish Order of the Medjidie, 4th class for his services in the Crimea.