Born as Francis Anthony Donner in San Francisco, California to Irish Catholic parents. He took the professional name of Frank Fayafter concluding that his birth name was not suitable for the stage. He enjoyed considerable success as a variety artist starting around 1918, telling jokes and stories in a carefully planned "off the cuff" manner that was very original for the time. Jack Benny stated that he modeled his early stage character on Fay. During the 1920s, Fay was vaudeville's highest-paid headliner, earning $17,500 a week.
When talkies arrived, Warner Bros. studio was eager to put him under contract along with a host of other famous stage personalities. Fay was cast as master of ceremonies in Warner Bros.' most expensive production of 1929, the all-star color all-talking revue The Show of Shows (1929). Based on the success of that film, Fay was quickly signed up for an all-Technicolor musical comedy entitled Under A Texas Moon (1930), in which he also displayed his singing abilities. The movie was a box office success and made a hit of the theme song, also titled "Under a Texas Moon". Fay sang the theme song several times throughout the picture. Another expensive picture, Bright Lights (1930), an extravagant all-Technicolor musical, quickly followed. Frank Fay also starred in The Matrimonial Bed (1930), a pre-Code comedy in which he sang the song "Fleur d'Amour" twice. Frank Fay quickly found himself associated with musical films, and this led to a decline in his popularity when the public became sick of musicals late in 1930.
In his next film, God's Gift to Women (1931), the musical sequences were cut for the American release, though they were retained for other countries. Fay failed to get the rave reviews he had previously enjoyed. He attempted to produce his own picture in 1932 and struck a deal with Warner Bros. to have them release his film. This film was titled A Fool's Advice (1932) and proved to be only moderately successful.
Fay married Barbara Stanwyck in 1928, when she was relatively unknown. He helped her jump-start her career in films, and she was given a contract by Warner Bros. late in 1930. Their only film appearance together was a brief skit in the short film The Stolen Jools (1931). They adopted a son, Dion, on December 5, 1932. The marriage reportedly soured when Fay's career was eclipsed by Stanwyck's success, and they divorced in 1935. Some film historians have claimed that their relationship was the basis for A Star is Born, but this has not been confirmed.
Fay's Broadway talent and early success in talkies with his pre-Code risque humor did not bode well with the rising conservative movement ushered in by the Great Depression. Fay played in a series of films casting him as a debonair lover, irresistible to women, that frequently threw in suggestive jokes (e.g. homosexuality, sex). He was successful as a revue and night club comedian and master of ceremonies and appeared frequently on radio shows. He was cast in a bit part as master of ceremonies in the night club sequence of Nothing Sacred (1937).
Fay made a brief screen comeback in 1943 for the low-budget Monogram Pictures. He was teamed with comedian Billy Gilbert for a series of wartime comedies, but walked out after the opener, Spotlight Scandals. Fay was replaced by another comedian more congenial to Gilbert, Shemp Howard. After the end of World War II, he had third billing in a movie called Love Nest.
Frank Fay died in Santa Monica, California, aged 69.