Harry Kay's days in senior football began with First Division Bolton Wanderers in 1906, but he failed to get a first-team opportunity and was pleased to accept an offer of a move to Leeds City in May 1907.

He was given his debut at the start of the 1907/08 season and his early displays were steady if unspectacular. He did enough, however, to become a mainstay of the side at right-back, usually as partner to former Rangers, Everton and Liverpool defender David Murray. Kay made 31 league appearances and featured in City's one FA Cup game.

Kay had his shortcomings, and was often prone to uncertainty, but was generally reliable and solid enough. It was something of a shock, therefore, when he left for Swindon at the end of the season, accompanying team mates Jack Lavery and Bob Jefferson to the Wiltshire club.

The trio achieved great things with the Robins, including reaching the FA Cup semi-finals in 1910 and 1912 and inflicting defeats on several First Division teams. Kay remained loyal to Swindon and was still in the side following their election to the Third Division in 1920. He made 31 league appearances for them in the 1920/21 season to add to his 240 Southern League games.

He retired at the end of that campaign.