Jay grew up in Meriden, Connecticut in a family whose musical diet primarily consisted of Frank Sinatra, Jack Jones, The Beatles and every other British rock group. At age seven, Jay began taking trumpet lessons from his dad (along with a few years of piano). At around eleven, he got his hands on a harmony guitar from his dad's music store and gradually made the Jay's Guitarswitch from brass to strings. After high school, Jay spent a year at the Hartt School Of Music studying classical guitar with Alan Spriestersbach and Dick Provost before moving to Boston and attending the Berklee College Of Music. While in Boston, Jay had the good fortune of studying with Mick Goodrick, Charlie Banacos and Pat Metheny.
After leaving Boston in 1981, Jay moved to New York and entered a multitude of musical settings. His first gig in New York was with violinist Michael Urbaniak, ushering in the next several years of playing fusion music. During this time Jay worked and recorded with Harvie Swartz, and later Spyro Gyra, which earned him a Grammy nomination. In 1989, Jay recorded his first CD as a leader entitled Never Too Late, produced by Teo Macero on Antilles New Directions. During this time, the versatile guitarist was also working and recording with artists such as Dave Samuels, Kenny Werner, Fred Hersch, Jeff Beal, David Mann, Ron McClure, Herbie Mann, Chuck Mangione, Jerry Bergonzi, Marc Copeland and singers Michael Franks, Donna Summer, The Manhattan Transfer, Carly Simon and Rickie Lee Jones.