In 1902 he began a career with the US Foreign Service, which included assignments in Paris, Constantinople, Tokyo and Cairo. Jay served as US Minister to El Salvador from 1920 to 1921. From 1921 to 1925 he was Minister to Romania, where he assisted in negotiating that country's repayment terms for wartime and post World War I development loans. In 1925 he was appointed US Ambassador to Argentina. He was present in May, 1926 when a bomb exploded at the door to the US embassy, an action that might have been a protest of the guilty verdicts in the Sacco and Vanzetti trials. Jay's health began to fail while he was serving in Buenos Aries, and he resigned his post in 1926, afterwards living in retirement in Washington, DC. In 1928 he was appointed the US member of the Permanent International Commission, an organization created by the 1914 peace treaty between the United States and Spain. Peter A. Jay was the son in law of Civil War officer and prominent attorney John J. McCook.