Gay is a qualified chartered accountant, with over 30 years' experience in private and public sector finance and governance and currently chairs the Corporate Responsibility Advisory Group of The Institute of Chartered Accountants in England and Wales. She is also a non-executive director on the Board of Ignite Investment Fund for Social Enterprise which is part of Centrica PLC.

Gay is currently a Director and Chair of the Audit Committee of Lowland Investment Company plc and director of a number of private companies. She was previously the Director of Public Programmes at the Royal Botanic Gardens Kew, Managing Director of the Eden Project, and Director of Finance at Plymouth University.