He started the 2006–2007 season as inaugural captain for the Auckland-based New Zealand Knights, but left the club in December following a falling out with management, before playing out the season with Perth Glory.
He appeared in the English Premier League and in the UEFA Champions League, playing for Leeds United. However, he failed to reach his full potential in England due to constant injuries. In England he is probably most remembered for playing in Barcelona's 4–0 thrashing of Leeds despite them going on to reach the semi-final. He also he came on as a substitute for Jonathan Woodgate against Liverpool in a memorable 4–3 victory for Leeds in November 2000.
In New Zealand he played for Green Bay-Titirangi United, Waitakere United and Central United. He also played for Walsall in England.
Hay appeared for the New Zealand national football team, the All Whites. His first goal for his country came against Fiji in the 1998 Oceania Nations Cup in a 1–0 win. In 2006, Hay was awarded the captaincy of the All Whites.
In 2007, he retired from international football to pursue a teaching career at Sacred Heart College in Auckland which also involves him training the First XI and youth development teams.
Hay was appointed as coach of the New Zealand under-17 national team in April 2015. He was manager of the U17s at the 2015 FIFA U-17 World Cup where they lost to Brazil in the round of 16 having qualified from a group featuring Syria, Paraguay and finishing second-place in to France.
In February 2017, his team won the 2017 OFC U-17 Championship with a 7–0 win over New Caledonia in the final and qualified for the 2017 FIFA U-17 World Cup.