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.
