Clay was born in Nottingham, Nottinghamshire. He started his career with Chesterfield's youth system in 2008 and was part of the team that won the Youth League. He was named Chesterfield's Young Player of the Year for the 2008–09 season. His first involvement with the first team came as an unused substitute in a League Two match against Torquay United on 16 January 2010. He made the bench on a number occasions through the rest of 2009–10, but did not make an appearance. He signed a two-year professional contract with Chesterfield in June 2010. 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. 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. On 28 October 2010, Clay joined Conference Premier club Barrow on a one-month loan with Chesterfield teammate Tendayi Darikwa. His only appearance for Barrow came two days later, in a 5–0 defeat away to Rushden & Diamonds. He made four appearances and scored one goal for Chesterfield in 2010–11, in which the club was promoted to League One as League Two champions. 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. 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. Clay finished the loan with one goal in four appearances. He made one more appearance for Chesterfield before the end of 2011–12, which he finished with eight appearances as the club was relegated to League Two in 22nd place. He signed a new one-year contract with Chesterfield in May 2012. 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. 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. He was released by Chesterfield on 29 April 2013 after making 23 appearances and scoring one goal in 2012–13.
Clay signed for League Two club York City on 17 May 2013 on a two-year contract. He made his debut in a 1–0 home win over Northampton Town on 3 August 2013, in the first match of 2013–14. Having made 10 appearances for York, Clay left the club by mutual consent on 13 January 2014, along with Jamal Fyfield.
He signed for Conference Premier club FC Halifax Town on 16 January 2014 on a one-month contract and made his debut two days later in a 1–1 home draw with Cambridge United. After making four appearances for the club he was released on 24 February 2014. Nearly a month later, Clay signed for Northern Premier League Premier Division club Worksop Town on 21 March 2014. He made his debut the following day as an 84th-minute substitute for Shane Clarke in a 2–0 away win over Stafford Rangers.
