Edward Gay came to the United States in 1848, when his father was forced to flee Ireland because of his involvement in revolutionary political activities there. The Gays settled in Albany, where young Edward had to forgo school in order to help support the family. He found jobs in a bowling alley, as a page in the State Assembly, and as a waiter in a French-owned restaurant and wine shop. The proprietor of the latter establishment recognized Gay's talent at drawing and encouraged him to seek guidance from the local painter James Hart. He soon became part of a group of young Albany artists that included George Boughton, Charles Calverley, William Magrath, Homer Dodge Martin, and Thomas Smith. He also obtained a teaching position at the Albany Female Academy, where he met his future wife, Martha Fearey.
In 1862 Gay left for Karlsruhe, a destination likely encouraged by the German-trained Hart. He remained for two years, studying with Carl Friedrich Lessing and Johann Wilhelm Schirmer. Returning to Albany via Ireland, he married and passed the next several years painting local scenes. His work was first seen in an Academy annual exhibition in 1867. By the time of the 1868 annual, when two of his landscapes were shown, he had moved to New York City. The following year a large work, Suburbs, Albany, N.Y., was hung prominently on the line in the annual exhibition. Gay may well have owed this favored treatment to two friends on the exhibition's Hanging Committee, Edward Lamson Henry (his neighbor in the YMCA Building) and George Inness. As a result of the attention his picture received, he was elected an Associate of the Academy. Almost four decades passed, however, before Gay achieved the status of full Academician, a delay that seems to have provoked some bitterness in the artist.
In 1870 Gay purchased a home for his growing family in Mount Vernon, New York. He contributed consistently to Academy exhibitions and in his later years saved enough money to go abroad occasionally. After an 1881 auction of his work, he and his wife, who was an art critic, traveled in England and France with George Boughton. Gay returned to Europe alone two years later, and in 1890 he was sent to Egypt by Frank Leslie's Illustrated Magazine to execute drawings for an article. Toward the end of the century, he sometimes wintered in South Carolina and Florida.
In 1905 he built a second home at the artists' colony of Cragsmoor, New York, which centered around George Inness, Jr., who had settled there in 1900. Early the same year, Gay was awarded the Academy's George Inness Gold Medal. Shortly before he was elected an Academician two years later, the institution asked him to write his reminiscences about the "old boys"-deceased members of the Academy. Gay was a natural candidate for such a task, for despite his long exclusion from the inner circle of Academicians, he was quite active socially, often presiding at gatherings of artists.