She completed her undergraduate degree at Vermont College of Norwich University, and also earned a master's degree with an emphasis in creative writing from the University of Nebraska–Lincoln. Gay began her undergraduate studies at Yale University, but dropped out in her junior year to pursue a relationship in Arizona. Her parents were relatively wealthy, supporting her through college and paying her rent until she was 30. Gay began writing essays as a teenager, with much of her early work being influenced by her experience with childhood sexual violence. She attended high school at Phillips Exeter Academy in New Hampshire. Gay was raised Roman Catholic and spent her summers visiting family in Haiti. Her mother was a homemaker and her father is owner of GDG Béton et Construction, a Haitian concrete company.

Gay was born in Omaha, Nebraska, to Michael and Nicole Gay, both of Haitian descent.