During World War II, Kay served in the U. S. Navy. As he later wrote: "I enlisted in the Navy, auditioning on my long since neglected alto saxophone, and was assigned to a band stationed at Quonset Point, Rhode Island. In the Navy band I learned flute and piccolo, played piano in the dance orchestra, did much arranging and some composing."
His most prominent composition from this period is "Of New Horizons" for concert band. Commissioned by Thor Johnson and performed by the New York Philharmonic, its premier took place in Lewisohn Stadium on July 29, 1944.