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.