Walter Gay was born on January 22, 1856 in Hingham, Massachusetts into an established New England family. He married the wealthy American expatriate Matilda Travers in London, and they moved to Paris in 1876. There, he became a pupil of Leon Bonnat. A fellow student during this period was John Singer Sargent with whom Gay developed a friendship. Bonnat encouraged the young artist to travel to Spain, where he studied and copied the work of Velázquez. He also encountered the work of Spanish artist, Mariano Fortuny. These artists became an important influences on Gay's brushwork, use of colour, and understanding of light. 

Walter Gay received an honorable mention in the Paris Salon of 1885; a gold medal in 1888, and similar awards at Vienna (1894), Antwerp (1895), Berlin (1896) and Munich (1897). He was one of the few artists selected to represent the United States at the Exposition Universelle in Paris in 1889. During his lifetime, his work was exhibited in every major European city - Antwerp, Berlin, Budapest, Vienna and Paris. In 1904, he was elected into the National Academy of Design as an Associate Academician.

His first compositions were still-lifes, followed by depictions of 18th-century French peasant life. Later he shifted to genre scenes of realistic depictions of peasants and factory workers. However, from around 1895, he abandoned such simple peasant scenes, virtually creating a new genre with his depictions of luxurious interiors. He is most noted for these paintings of opulent interiors showcasing French chateaux and chic private homes. These painterly works display the luxurious detail of domestic interiors which included fine porcelain, furnishings, gilt mirrors, paintings and focused on the "spirit of an empty room" by avoiding the inclusion of figures.