Clay was born in Nottingham, Nottinghamshire.[5] He started his career with Chesterfield's youth system in 2008 and was part of the team that won the Youth League.[6][7] He was named Chesterfield's Young Player of the Year for the 2008–09 season.[8] His first involvement with the first team came as an unused substitute in a League Two match against Torquay United on 16 January 2010.[9] He made the bench on a number occasions through the rest of 2009–10, but did not make an appearance.[9]
He signed a two-year professional contract with Chesterfield in June 2010.[10] He made his debut for the club on 18 September 2010, in a 3–0 home win over Cheltenham Town, replacingMark Allott in the 85th minute.[11] On 2 October 2010, he scored his first professional goal with a 25-yard shot during stoppage time to earn a 5–5 draw at home to Crewe Alexandra.[11][12] On 28 October 2010, Clay joined Conference Premier club Barrow on a one-month loan with Chesterfield teammate Tendayi Darikwa.[13] His only appearance for Barrow came two days later, in a 5–0 defeat away to Rushden & Diamonds.[14] He made four appearances and scored one goal for Chesterfield in 2010–11,[11] in which the club was promoted to League One as League Two champions.[15]
Clay was loaned out by Chesterfield for a second time on 20 January 2012, joining Conference Premier club Alfreton Town on a one-month loan.[16][17] Four days later, he scored Alfreton's third goal in a 3–0 win away to Bath City on his debut with a shot from the edge of the penalty area in the 90th minute.[18][19] Clay finished the loan with one goal in four appearances.[20] He made one more appearance for Chesterfield before the end of 2011–12, which he finished with eight appearances[18] as the club was relegated to League Two in 22nd place.[21]
He signed a new one-year contract with Chesterfield in May 2012.[22] His only goal of 2012–13 came in a 6–1 win over League One team Hartlepool United in the FA Cup first round on 3 November 2012.[23] Clay had a double hernia operation in March 2013 and after returning made one more appearance before the end of the season, as an 89th-minute substitute in a 2–0 victory away to Barnet on 6 April.[23][24] He was released by Chesterfield on 29 April 2013[25] after making 23 appearances and scoring one goal in 2012–13.[23]
York City
Clay signed for League Two club York City on 17 May 2013 on a two-year contract.[26][27] He made his debut in a 1–0 home win over Northampton Town on 3 August 2013, in the first match of 2013–14.[28] Having made 10 appearances for York,[28] Clay left the club by mutual consent on 13 January 2014, along with Jamal Fyfield.[29]
FC Halifax Town and Worksop Town
He signed for Conference Premier club FC Halifax Town on 16 January 2014 on a one-month contract[30][31] and made his debut two days later in a 1–1 home draw with Cambridge United.[20] After making four appearances for the club he was released on 24 February 2014.[32] Nearly a month later, Clay signed for Northern Premier League Premier Division club Worksop Town on 21 March 2014.[33] He made his debut the following day as an 84th-minute substitute for Shane Clarke in a 2–0 away win over Stafford Rangers.[34]
Clay signed for newly relegated National League club Leyton Orient on 17 July 2017 on a two-year contract.[44] He went on to win both the National League and EFL League Two titles with the club over the 6 years he was with them. His contract was not renewed at the end of the 2022/23 season.