William Jay was born at Bath, England in 1792 to a famous dissenting minister of the same name. As a young man, Jay was apprenticed to London architect and surveyor David Riddel Roper (1773-1855) until about 1814. Roper erected a number of buildings in Southwark, Kennington and other areas south of the Thames. Roper also participated in the surveying, and perhaps the speculative building, connected to John Nash's Quadrant and other Regency building projects in London. Jay exhibited his work at, and perhaps attended, the Royal Academy in London during Sir John Soane's tenure. He was a close friend of William Etty, R.A., a famous painter of nudes, who, in 1818, contributed panels to Jay's Savannah Theatre, and painted portraits of Jay's father, sisters and brother-in-law. Jay entered a design competition in 1814 for the Wellington Rooms in Liverpool, but lost to Edmund Aikin. In 1815 he received his first known professional commission for the Albion Chapel, Moorfields, London, probably through connections of his father's. This work was immortalized by James Elmes in his 1827 classic: Metropolitan Improvements or London in the 19th Century.

Jay apparently spent time in London until he left for Savannah in December 1817. He was building a house there for Frances Bolton Richardson, the sister of his brother-in-law, Reverend Robert Bolton, and her husband, Richard Richardson. Richardson also commissioned Jay to build the Branch Bank of the United States in Savannah. Jay built mansions for other prominent Savannahians including William Scarbrough, Alexander Telfair, Robert Habersham , and Archibald Bulloch. He also erected a lavish pavilion for President Monroe's May 1819 visit to Savannah.

Jay maintained an office in Charleston, and continued to work there and in Savannah, erecting a number of exquisite structures among them the William Mason Smith House and the Joseph Turpin Weyman House. He became the first architect (Robert Mills was the second) to the South Carolina Board of Public Works through which he designed some court houses and jails, and perhaps the Fireproof Building and other public buildings later completed by Robert Mills and others. He built a Gothic Marine Villa on Sullivan's Island, and founded the South Carolina Academy of Fine Arts with Joel Poinsett, Samuel F.B. Morse, John Cogdell, Charles Fraser and others. He commuted often between the South and New York where he received supplies of materials from England, and purchased furnishings. He may have visited his sister Anne Jay Bolton while she was in the States with her husband, the Reverend Robert Bolton (a native Savannahian).

By 1823, Jay was back in England as a result of the economic and other disasters besetting the Southeast after 1819. Until 1828, when he became bankrupt, he did some speculative building in Cheltenham. Most memorable of this work is Columbia Place terrace from 1825. Other documented work includes the Pittville Parade terrace in 1828, the Paragon Buildings about 1825, and Watermoor House in Cirencester also about 1825. Except for 1829 in Henley and the early 1830s in Bromley, we lose track of him until 1836 when he accepted a government architectural post in Mauritius through the good offices of Lord Glenelg. He designed a chapel and a prison before he succumbed to a fever and died in April 1837.