His first sporting love was cricket and Lay played for Taranaki against the 1928 Australian and 1930 MCC teams.

His strong throwing arm was noticed and he was introduced to the javelin, with immediate effect. He won the national title in 1926 and later in the year achieved the first 60-metre throw by a New Zealander.

In the 1927 national championships, he threw a New Zealand record 218 feet 2¾ inches, just inches under the world record. It was disallowed because of wind assistance, however.

Lay became the first thrower to represent New Zealand at an Olympics when he went to Amsterdam in 1928. He finished seventh, still the equal best by any New Zealand man in an Olympics field event. Lay won the inaugural Empire Games title in 1930 and was second in the Sydney Games in 1938.

He also competed in the Auckland Empire Games in 1950, finishing sixth.