After his playing career, Peay served as the head football coach at Northwestern University from 1986 to 1991. He was the second black head coach in the Big Ten Conference, after his predecessor Dennis Green. His coaching record at Northwestern was 13 wins, 51 losses, and two ties. This ranks him 12th at Northwestern in total wins and 24th at Northwestern in winning percentage. He was succeeded at Northwestern in 1992 by Gary Barnett.
He died September 21, 2013 at the age of 69.