It lies in the civil parish of Leintwardine, on the other side of the River Clun 1 mile (1.6 km) northwest of that village. The lane between Jay and Leintwardine is called Jay Lane and the bridge over the Clun is Jay Bridge. The minor River Redlake passes Jay and then joins the Clun just south of Jay Bridge.
The hamlets of Jay and nearby Heath formed a single township and whilst in the present day form part of the civil parish of Leintwardine, and thus a part of Herefordshire, they were regarded as being part of Shropshire until the mid-19th century.
A Roman auxiliary cavalry fort was situated at Jay Lane.
Its name, and that of the nearby hamlet of Beckjay (about 1 1⁄2 miles (2.4 km) north), is probably a reference to the family of Elias de Jay, who held the local manor of Bedston until 1349. A relative of this family, Brian de Jay, was the last recorded master of the English Knights Templar.