Early career Shay began his coaching career at
Mercyhurst where he spent two years as an assistant coach and also assisted in the sports information office. Shay's first Division I assistant coaching job came at the
University of Wisconsin-Milwaukee where he was first the director of basketball operations for two seasons (2001–03) before being elevated to a full-time assistant prior to the 2003–04 season. The Panthers advanced to the NCAA Tournament in both of his seasons as an assistant coach before the staff moved on to Tennessee for the 2005–06 season. During his tenure in
Knoxville, the Volunteers advanced to six consecutive NCAA Tournaments, which included the Elite Eight run in 2010. The Volunteers also won the outright Southeastern Conference Championship in 2008 – for the first time in 41 years – and UT averaged more than 25 wins per season during his time on the staff, including grabbing the No. 1 ranking for the first time in program history in 2008. Following a six-year stint as an assistant coach at the
University of Tennessee, he spent two seasons at
Northwest Florida State College in
Niceville, Florida. During his time at Northwest Florida, the Raiders went 62–6, while winning consecutive Panhandle Conference Championships and back-to-back appearances in the NJCAA Division I National Championship game. He was also an assistant at
University of North Dakota from 2013 to 2015. On May 6, 2020, Shay was named the new head coach of the
East Tennessee State men's basketball team. He was the 17th head coach in the program's 100-year history, and was hired after former coach
Steve Forbes left for
Wake Forest. On March 30, 2021 Shay resigned as head men’s basketball coach at ETSU. == Head coaching record ==