On leaving the Academy, in 1897, she joined the D'Oyly Carte Opera Company with a week-long trial at the Savoy Theatre, singing the part of Elsie Maynard in the first London revival of The Yeomen of the Guard. She immediately became principal soprano in a D'Oyly Carte touring company, playing the roles of Elsie, Phyllis in Iolanthe, Yum-Yum in The Mikado, Princess Lucilla Chloris in His Majesty, and later adding the roles of Aline in The Sorcerer, and Mabel in The Pirates of Penzance.
Jay joined the main D'Oyly Carte company at the Savoy in 1898, briefly playing Gianetta and then Casilda in The Gondoliers, and soon took over the role of The Plaintiff in Trial by Jury, winning a favourable review in The Sunday Times. In early 1899, she created the small role of Aloës in The Lucky Star, and she then filled in for Ruth Vincent for 21 performances as Josephine in H.M.S. Pinafore, as well as performing again as The Plaintiff.
Now the company's leading soprano, Jay played Mabel in Pirates (1900), again earning good notices, and the title role in the first London revival of Patience (1901). During the run, she was made an Associate of the Royal Academy of Music. She then created the roles of Lady Rose Pippin in The Emerald Isle (1901) and the Gipsy Woman in Ib and Little Christina (1901). She played Phyllis in the first London revival of Iolanthe (1901–1902) and then toured with The Emerald Isle. She left the company in 1902 to marry the African explorer Henry Shepherd Cavendish, who was later the 6th Baron Waterpark.
The first was the hit musical The Cingalee (1904, with Rutland Barrington and Hayden Coffin), in which she created the role of Lady Patricia Vane, followed by the role of Hélène de Solanges in Véronique in 1905, with Rosina Brandram. In 1905 she was invited to sing before King Edward VII and Queen Alexandra at Chatsworth House, where the Queen presented her with a brooch.
Later that year she was hired by Frank Curzon, a successful theatre manager, who became her mentor. Her first role with Curzon was to star as Sybil Cunningham in The White Chrysanthemum at the Criterion in 1905 (with Rutland Barrington and Henry Lytton) and then on tour. In early 1906, Jay split up with her husband. Her next role was Winnie Willoughby in The Girl Behind the Counter (1906, with Hayden Coffin). For the next four years, she starred regularly in Curzon's West End productions, often at The Prince of Wales Theatre and often in a show by Paul Rubens. These were intended to be spectacular shows, with exotic sets, elaborate costumes and beautiful chorus girls. Her roles during these years included Olivia in Liza Lehmann's The Vicar of Wakefield (1906, based on the novel of the same name), Sally in Miss Hook of Holland (1906, running for a very successful 462 performances), Paulette in My Mimosa Maid (1908), Princess Marie in the hit King of Cadonia (1908), Christina in Dear Little Denmark (1909), and Princess Stephanie in The Balkan Princess (1910).
Jay and Curzon married in 1910. After the end of the run of The Balkan Princess in 1911, Jay retired from the stage at only 31 years of age, and she had a second child (Pamela Stephanie Curzon) in 1915. In 1923, Jay created the role of Anne West, with Curzon as suitor James Hathaway and daughter Cecelia as Angela West, in a play of her own authorship, The Inevitable. The play toured Hastings, Eastbourne, Littlehampton and Brighton, before opening for a short run at the St. James Theatre.