Bailey's father was Lewis Bayly, Bishop of Bangor, and a brother was the scholar and clergyman John Bayly (1595/6–1633). Bailey was educated at Magdalene College, Cambridge. He began as a priest within his father's diocese; in 1634 he became Rector of Holgate, Shropshire, and in 1638 the sub-dean of Wells. He served as a commissioned officer in defence of Raglan Castle in 1646, and was briefly imprisoned in Newgate gaol for writing against the Commonwealth after Charles I was executed in 1649. In that year he also defended Charles against allegations that he had been a Roman Catholic. However, Bailey then made his way to Europe, and had himself converted to Catholicism by the time of his 1654 End to Controversy. A Life of John Fisher was issued under Bailey's name in 1655, though it was in fact a re-publication of a much earlier text which Richard Hall (d. 1604) had translated into Latin.