Peter Jay was born on 7 February 1937, son of the Labour peer Douglas Jay. He was educated at Winchester College and Christ Church College, University of Oxford, taking 1st class honours in PPE in 1960, and also serving as President of the Oxford Union in that year. Jay then passed one term as a postgraduate at Nuffield College and in 1961 he married (1st), Margaret Ann (later Baroness Jay of Paddington), daughter of Baron Callaghan of Cardiff. They were divorced in 1986, having one son and two daughters. In 1986 Jay then married (2nd), Emma, daughter of P. K. Thornton, and had three sons.

After his National Service as a Midshipman and Sub-Lieutenant in the RNVR, (1956-57), Jay's career included: Assistant Principal and Principal, Treasury (1964-67); Economics Editor, the Times, 1967-77; Ambassador to the United States, 1977-79; Director, Economist Intelligence Unit, 1979-83; President, TV-am, 1983-; Presenter, A Week in Politics, Channel 4, 1983-86; and Economics Editor, BBC, 1990-2001.