Kay is the son of actor Richard Kay (1937–1985), and the grandson of entertainer Arthur Kay (died 1970). He is married to fellow actor Nicola Walker, with whom he has a son, Harry.
His theatre work includes A Streetcar Named Desire at the Donmar Warehouse (2009), Orlando in As You Like It at the Novello Theatre (2006), Closer at the National Theatre (1999–2000), Pierre Bezuhov in Warring Peas at the Hampstead Theatre (2008), Tinky Winky, Telly Tubbies, tour (2011-2016), Steve Calhanm in Eric Larue at the Soho Theatre (2006), and Alexander Petrovich Kalabushkin in Dying For It at the Almeida Theatre (2007).
Among other roles, Kay has appeared in The Five (2016), Wallander (2012–15), Doctor Who (2015), New Tricks (2013–14), Frankie (2013), Public Enemies (2011), Wuthering Heights (2009), Holby City (2008), Midsomer Murders (2005), Spooks (2004), Prime Suspect (2003), Serious and Organised (2003), Silent Witness (2002), Conspiracy (2001), The Bill (2000), Casualty (1999), Shakespeare in Love (1998), Croupier (1998), Jonathan Creek (1997), Cracker (1996), The Vet (1995) and Minder (1994).
