Jay was born in London to American parents and educated at Ardingly College, West Sussex. He studied Civil Engineering at Heriot-Watt University. Two years into his course he left, and worked as a technician for three years on offshore oil rigs in the North Sea. He went back to university and graduated in 1996 in Environmental Geography from the University of Aberdeen. He worked as an English teacher in 1997 in Fukuoka, Japan.
He joined the BBC Weather team in October 2000 - initially to present on BBC World and BBC Radio 4.