After leaving Mount St Joseph High School, Kay took several menial jobs, including working in a toilet roll factory, Netto supermarket, Cash and Carry, and a bingo hall, which later inspired episodes or sequences in That Peter Kay Thing. He attended the University of Salford where he studied a Higher National Diploma in Media Performance. This involved a stand-up course at which he excelled. His first stand-up was a competition in Manchester, hosted by later co-star and co-writer of Phoenix Nights, Dave Spikey.