Born in Brooklyn, Gay began playing competitive recreational basketball at the age of 12 in his hometown of Baltimore, Maryland. At the age of 14, Gay began playing for the nationally known Cecil-Kirk AAU program under coach Anthony Lewis.

Gay played his first two years of high school basketball at Baltimore County's Eastern Technical High School, a magnet school in Essex. He played varsity basketball both years. In his sophomore season at Eastern Tech, the Mavericks earned their first and only trip to College Park for the state semi-finals. Although Eastern Tech was a Blue Ribbon academic institution, Gay's parents were concerned about his college preparation. He began his junior year with Eastern Tech, but in September 2002, he transferred to Archbishop Spalding in Severn. This prompted the Maryland Interscholastic Athletic Association to review its transfer rules. He began playing basketball for Spalding as a junior in 2002–03, earning first team All-Baltimore Catholic League honors as a junior and senior, and was also honored as the Baltimore Sun's co-player of the year as a senior. He was the Washington Post All-Met Basketball Player of the Year, a McDonald's All-American, and a Parade first-team All-American in his senior year after averaging 21.2 points, 9.2 rebounds and 3.7 blocks per game. Considered a five-star recruit by Rivals.com, Gay was listed as the No. 2 small forward and the No. 5 player in the nation in 2004.

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