Professor Fay received his bachelor's degree from Harvard in 1947, where his studies were interrupted to serve in Italy during World War II. Afterwards, he attended Oxford University as a Rhodes Scholar and then returned to Harvard for his Ph.D., which he received in 1954.
Among his books were the award-winning The Opium War, 1840-1842 (1975) and The Forgotten Army: India's Armed Struggle for Independence, 1942-1945 (1993) written on the Indian National Army. His two years spent at the Indian Institute of Technology during the 1960s helped form his interest in Indian history.