He received his education at the Royal Academy of Dramatic Art in London. He is best known film roles in the early 1980s. His breakthrough came in 1981 in the role of Lancelot in the film Excalibur by John Boorman. In the same year he was also seen in Just Jaeckins film adaptation of Lady Chatterley's Lover on the novel by DH Lawrence. In 1982, he starred in the Agatha Christie adaptation Evil Under the Sun alongside Peter Ustinov, Maggie Smith, Jane Birkin, James Mason and Roddy McDowall. In his last years he was at the Actors Centre and at the Academy of Live and Recorded Arts acting classes.
Since 1980, Clay was married to actress Lorna Heilbron, with whom he had two daughters. He died in 2000 of liver cancer.