Madame Gay was the daughter of M. Nichault de la Valette and of Francesca Peretti, an Italian lady. In 1793 she was married to M. Liottier, an exchange broker, but she was divorced from him in 1799, and shortly afterwards married to M. Gay, receiver-general of the départment of the Riser or Ruhr.
This union brought her into intimate relations with many distinguished personages; and her salon came to be frequented by all the distinguished litterateurs, musicians, actors and painters of the time, whom she attracted by her beauty, her vivacity and her many amiable qualities.
Her first literary production was a letter written in 1802 to the Journal de Paris, in defence of Madame de Staël's novel, Delphine; and in the same year she published anonymously her first novel Laure d'Estell. Leonie de Montbreuse, which appeared in 1813, is considered by Sainte-Beuve her best work; but Anatole (1815), the romance of a deaf-mute, has perhaps a higher reputation.
Among her other works, Salons célèbres (2 vols, 1837) is especially notable. Gay wrote several comedies and opera libretti, which met with considerable success. She was also an accomplished musician, and composed both the words and music of a number of songs.
She died in Paris on 5 March 1852. For an account of her daughter, Delphine Gay, Madame de Girardin, see her own Souvenirs d'une vieille femme (1834) ; also Théophile Gautier, Portraits contemporains; and Sainte-Beuve, Causeries du lundi, vol. vi.