A goalkeeper from King's Lynn, Danny progressed though the youth and Academy sides and even travelled out to Parma in May 2000 with Robert Green to train under Parma's goalkeeping coaches as part of the agreement between Norwich and the Italian giants in exchanging training techniques, loaning young players etc. Throughout 2000/01 Danny even played in the Reserves. However at the season ended and his scholarship came to an end, Nigel Worthington was faced with a dilemma especially with current keeper Andy Marshall expected to leave Norwich in the summer of 2001. Worthington would hope to bring in an experienced keeper as back-up to Robert Green. However this new keeper would keep match fit by playing in the Reserves. This would leave Danny no outlet for match action as he would be too old for the Under 19s.

In April 2001, Danny experienced some of his best moments at Carrow Road, being called up to the bench for Division One matches whilst Marshall was injured. On Wednesday 18th April, he was the hero of a 5-4 penalty shoot-out in Norwich's favour against Reading in the final of the Avon Insurance League Cup final. Despite his contribution, he was released by Norwich two days later but hooked up with Southend the following week for a trial. Danny was successful in that he was offered a contract with the Shrimpers on 21st May 2001. A short term contract was signed on 7th July 2001. Danny made his debut for Southend on 29th December 2001 in the 2-1 home defeat against Luton.

In March 2003, Danny was astounded to be placed on stand-by for Wales' Under-21 clashes with Azerbaijan and Serbia-Montenegro (the former Yugoslavia). Despite this international call-up, Danny was released by the Shrimpers on May 8th 2003 as new manager Steve Wignall sought to establish his own squad at Roots Hall.

Danny's search for a new employer took him on trial to Boston United in July 2003. However they signed Steve Crousden as cover instead. Danny then resurfaced at the beginning of the new season playing for Ryman leaguers Hornchurch. His fine form for the Urchins has seen them at the top of the Ryman League with the best defensive record. Danny kept a clean sheet in the first round proper of the FA Cup on 8th November 2003 when Hornchurch defeated David Hodgson's Darlington.

Failure to agree a new contract resulted in Danny leaving Hornchurch in the summer of 2004. He was linked with a move to Grays Athletic but nothing materialised from this rumour. Eventually he rejoined his former Hornchurch manager George Borg at Braintree towards the end of August 2004. Borg said "Last season Danny was superb for me at Hornchurch, with over thirty clean sheets to his credit. I was amazed when I heard during the summer that he could be available. The signing of Danny Gay completes the squad for me and I'm pleased that he has chosen to come and play for Braintree. I now have two quality goalkeepers at the Club and the competition for places can only help us."

Danny joined Cambridge United on trial in July 2005, and was due to play in pre-season friendlies until Braintree demanded a £5000 fee for him which United could not afford. Braintree ofered to loan Gay to the Us until their finances were healthier but U's manager Rob Newman, who had signed Gay for Southend United, preferred to have a permanent addition to the squad and offered Paul Crichton a trial instead. Danny then signed for Bishops Stortford in early August 2005.

Danny returned to Braintree towards the latter part of January 2006 and helped them win the Ryman League title, securing promotion to the Conference South on Easter Monday 2006 with a 2-0 win at local rivals Chelmsford City. Danny though remained in the Ryman Premier league as he transferred to Heybridge Swifts in early July 2006.

Rumours at the end of May 2007 suggested that Gay was in talks with Brainteee about a return to the Cressing Road side.

At the beginning of July 2007, Danny joined Leeds United on trial and played in their 7th July friendly against Shelbourne. Leeds' finnacial plight and relegation to League One, left Dennis Wise with just 17 professionals - of whom, only one was a goalkeeper. Leeds won 2-0 with Gay playing the entire 90minutes. Not taken on by Leeds, Danny returned to Essex joining Chelmsford City for the 2007/8 season. After helping them win the Ryman League and promotion to the Conference South, Gay was squeezed out and was released at the end of the 2008/9 season.

Gay joined Norwich on trial in July 2009 playing in their 4-1 win over Thetford Town.

Following an injury to first choice Kings Lynn keeper Jason White, Danny was signed by Lynn on 27th August 2009. However his future will be in doubt following the decision by the High Court on 25th November 2009 to wind the club up due to unpaid taxes of £67,000 to the Inland Revenue. With Lynn wound up, Danny signed for Needham Market at the beginning of January 2010. Needham boss Mark Morsley said Gay's arrival will be a major boost for the club who are two points clear of CRC at the top of the Ridgeons League. "The decision made to bring in Danny Gay is purely a footballing one as we feel his experience will help improve our squad,” said Morsley. “It has been a tough decision as current number one Liam Jones has been an important part of the development and success of Needham Market FC but we feel this is a positive move to help progress our aims for this season.”

In the 2009/10 season, Needham Market won both the Ridgeons League and the Ridgeons Challenge Cup. He left Needham Market at the end of the following season and joined AFC Subury on 14th July 2011. Gay, who is a PE cover teacher, said "The football club wanted to go forward when I spoke to them. The facilities at Sudbury are outstanding and the pitch is immaculate and the manager and his assistant are really excited about the coming season and that was a major reason why I decided to join.”

On 20th September 2012, Danny signed for Kings Lynn Town. He helped Lynn to the Evo-Stick (Northern League) Division One South title in his first season at The Walks.

Gay quit Kings Lynn in October 2013 after receiving a better contract offer from Ryman League strugglers Leiston.He moved to St Neots Town in June 2015. He then left to join Needham Market.

In addition to playing, he is a PE teacher.