He scored his first goal for Exeter in an EFL Trophy tie against Oxford United on 30 August 2016.[7]
Jay finally scored his first league goal on the 8th of April, in the 2017–18 campaign, away to Cambridge United in a game where Exeter came twice from behind to win 3–2. This came to the delight of many players and fans alike following a run of impressive games starting and from the bench.[8][9]
In 2021, Jay scored his first career hat trick in a 4–0 victory against Leyton Orient.[10] After a month in which he scored five goals and got one assist, Jay received the League Two Player of the Month award for March 2021.[11] At the end of the 2020–21 season, he was named as the Devon side's Player of the Season,[12] and on 29 April 2021 was named in the 2020–21 EFL League Two Team of the Season at the league's annual awards ceremony.[13]
Jay was awarded the Exeter captaincy following the departure of Jake Taylor in the summer of 2021 and was given the number 7 shirt. He continued his goalscoring form into the 2021–22 season, netting 16 times in all competitions. The most significant of these came in a 2–1 home win over Barrow, where he scored a late winner, chesting the ball down from a Josh Key cross and slamming home through the legs of Paul Farman on the volley to secure his boyhood club's return to League One after a decade in League Two.[14]