Early Career
Shay was playing for the local men's team Lifford Celtic at the age of 15. He was propelled into the limelight when he played in the FAI's Junior Cup for Lifford Celtic in the semi-final in Dundalk. In spite of being on the wrong end of the 1-0 score line, Shay had done enough by holding his own between the sticks.

Shay was invited to join Celtic on a pre-season tour of Ireland when he was just 14 and then signed terms at 16 under the stewardship of another Irish football legend, Liam Brady.

He spent two years playing for Celtic Youth under-18 team in the Scottish League, with one of his highlights being when he made the subs bench for the senior team against Rangers on January 1, 1994 when they were beaten 4-2.

Blackburn Rovers
He subsequently was transferred to Blackburn Rovers in 1994 by manager Kenny Dalglish. Despite notable performances when given first team opportunities he was unable to permanently dislodge England international Tim Flowers from goal at Ewood Park. Consequently Shay then went on loan to Swindon Town and then Sunderland after playing only two games for Blackburn. At Sunderland he put in a notable performance, keeping 12 clean sheets out of 17 appearances and picking up a Championship medal (to date the only medal he has won in professional football).

Even though he had been brought back to Blackburn, Shay received a Division One winners medal from Sunderland, having made over 10 appearances for the club during his loan spell.

 

Newcastle United
Shay, signed for a fee of £1.5 million in 1997, was one of the first signings for Newcastle United of then-new manager Kenny Dalglish. Shay immediately established himself in the first team, beating fellow goalkeepers Pavel Srníček, Shaka Hislop and Steve Harper to the position. He played in the 1998 FA Cup Final and then missed out on the 1999 FA Cup Final when Harper was preferred. He would later regain his place in the team from Harper by the end of the 1999–2000 season.

 

In the 2001–02 season, Shay played in every Premiership match and was named in the PFA Premiership Team of the Season. He competed in the 2002 World Cup in South Korea/Japan, but could not prevent the Republic of Ireland being eliminated by Spain after a penalty shoot-out.
 
Shay became Newcastle's most capped player when he won his 41st cap of the season, overtaking Alf McMichael's previous record. He ended 2003 as the holder of the Premiership's record for the most consecutive appearances record, now surrendered to Frank Lampard of Chelsea.

 

Shay became Newcastle's most experienced European performer in the game against Bnei Sakhnin on September 16, 2004.

Shay was named in the Premiership's team of the year for his consistent performances throughout the 2005–06 season.

 

Before the start of the 2006–07 campaign, Shay signed a new contract with Newcastle signaling his intention to see his career out with them. On September 17, 2006 Shay suffered a one-centimetre tear in his bowel after a heavy challenge from West Ham United striker Marlon Harewood. Doctors likened the injury to one more likely to happen in a car crash. Manager Glenn Roeder bought a temporary cover goalkeeper in the form of ex-Newcastle veteran Srníček to cover Harper, and rookie Tim Krul played a full match in Newcastle's 1-0 UEFA Cup win at Palermo on November 2. Shay returned on November 18 with an impressive performance in Newcastle's 1–1 Premier League draw at Arsenal. Shay's 2007–08 season was prematurely ended by injury in February when he had an occurrence of an old groin injury in the game with Manchester United.

Personal Life
Shay married Jane Cunningham in Hexham, England, in a Roman Catholic ceremony attended by his teammates. The couple received a papal blessing from His late Holiness Pope John Paul II, himself an amateur goalkeeper in his youth. They have two children: a boy, Shayne (b. 2004), and a girl, Sienna (b. 2007).
He is also a life long supporter of Celtic.