Gay played his first two years of high school basketball at Baltimore County's Eastern Technical High School, a magnet school in Essex.
At the age of 14, Gay began playing for the nationally known Cecil-Kirk AAU program under coach Anthony Lewis.
Born in Brooklyn, New York, to Rae Gay and Rudy Gay Sr., former lead singer of the R&B group Ace Spectrum and band director for The Stylistics, Gay began playing competitive recreational basketball at the age of 12 in his hometown of Baltimore, Maryland.
