Jay appeared as "Harley Quinn" (after the comics character) on Grooby sites such as Shemale Yum where many of her sets featured references to cosplay and anime. After successfully marketing herself with a number of website and DVD appearances, breast augmentation and a name change, Jay launched her own adult website featuring soft- and hardcore erotica. Though she has been featured in Evil Angel's DVD series, since 2011 she currently produces material exclusively for her own site.
In 2011 and 2012, she won the AVN Award for transsexual performer of the year. She also co-hosts the podcastThe Bailey Jay Show (formerly Bailey Jay Radio) with her husband, photographer Matthew Terhune, the podcast The Trans Witching Hour with Bailey Jay (formerly Gender Coaching with Bailey Jay) that deals with spirituality, the horror-themed podcast Blood Lust with Bailey Jay and also co-hosts the transgender and transsexuality advice podcast Sugar and Spice (formerly Third Gender Radio) with Jen Richards of We Happy Trans. On March 21, 2012, Jay's single, "You're Getting Lucky Tonight", was released to Spotify and iTunes. Jay has also made several guest appearances on Sirius XM RadioThe Jim Norton Show with Jim Norton, giving advice to callers. In May 2015, she announced that she was working on a cookbook.