His family moved to Illinois in 1820, and four years later to St. Louis, Missouri. For several years he studied under a private teacher in Belleville, Illinois; attended Augusta College in Kentucky in 1833-34; returned to St. Louis, and was engaged in commercial affairs from 1839 to 1860. Although having no formal education in business, Gay was a deep student of industrial and political economy from early manhood on. From St. Louis he moved to Louisiana where he became interested in manufacturing and planting. He was prominently connected with the erection of the Merchant's Exchange Building in St. Louis., and was the first president of the Louisiana Sugar Exchange of New Orleans. Gay was originally opposed to secession, but once the American Civil War broke out, stood firmly behind the Southern Confederacy.