Peter Jay was born in London, 7 February 1937, the son of Douglas Patrick Thomas Jay and Margaret Christian (Peggy) Jay (née Garnett). He was educated at the Dragon School, Oxford; Winchester College; Christ Church, Oxford; and Nuffield College, Oxford. He married Margaret Callaghan in 1961 (divorced 1986), with whom he has one son and two daughters, and Emma Thornton in 1986, with whom he has three sons. He has another son.

He served as a Midshipman and Sub-Lieutenant in the Royal Naval Volunteer Reserve, 1956-7, before going up to Oxford. He joined the Treasury in 1961, where he worked as Assistant Principal, 1961-4; Private Secretary to the Joint Permanent Secretary [William Armstrong], 1964; and Principal, 1964-7. He left the Treasury to become Economics Editor of The Times, 1967-77, and also worked as a television journalist on the ITV series Weekend World, 1972-7, and The Jay Interview, 1975-6.

In 1977, he was appointed British Ambassador to the United States and served in that capacity until 1979. He remained in the United States as a visiting scholar at the Brookings Institute, 1979-80, and then returned to Britian to launch the breakfast television station TV-am, where he was Chairman and Chief Executive, 1980-3. He was also director of the Economist Intelligence Unit, 1979-83. He became a television journalist again on the Channel 4 series A Week in Politics, 1983-6; then Chief of Staff to Robert Maxwell at Mirror Group Newspapers, 1986-9; before returning to television as Economics and Business Editor at the BBC, 1990-2001.

He was a Non-Executive Director of the Bank of England, 2003-9; a Governor of the Ditchley Foundation, 1982-date; and Professor of Political Economy at the Henley Business School, 2006-date.

His publications include: "The Budget" (1972); "The Crisis for Western Political Economy and Other Essays" (1984); (with Michael Stewart), "Apocalypse 2000" (1987); and "Road to Riches or the Wealth of Man" (2000).