Walter Gay spent most of his life in Paris. Old Knoedler records suggested that Gay was a descendant of Johathan Bentham, who appears in a portrait (now in the NGA) by an unknown artist, dated to c. 1725. The picture was found among Gay's estate; however, no genealogical records for the Bentham family nor any connection with the Gay family have been found.
Grey Art Gallery and Study Center. Walter Gay, a retrospective Exh. cat.. New York University, New York, NY, 1980.