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Gay wrote both music and lyrics for popular songs, with a wide range of collaborators, during the early twentieth century. His "The Little Ford Rambled Right Along," written with C. R. Foster, was a pop success of 1914. His single greatest hit was perhaps "Oh!" (1919), which he wrote with bandleader Arnold Johnson; a 1953 recording by Pee Wee Hunt sold a million copies. Other popular pieces were "Avalon," "Fate," "Fast Asleep in Poppy Land," "Four or Five Times," "Horses," "Song of the West," "The Vamp," and "Wide Open Spaces."
Surprisingly enough, Gay also had experience in polar exploration: he went to Antarctica on the second Byrd Polar Expedition in 1933–34.