Educated at St. Paul's School, Concord, N.H., and at Yale University (A.B., 1896), Day became a member of the New York Stock Exchange in 1897 and joined his father's brokerage firm as a partner. He enlisted in the U.S. Navy the following year but was stricken by arthritis, a disease that left him an invalid.

In 1920 his first book, This Simian World, a collection of humorous essays and illustrations, appeared. This was followed by The Crow's Nest (1921) and Thoughts Without Words (1928). He achieved great success with God and My Father (1932), Life with Father (1935), and Life with Mother (1936). Drawn from his own family experiences, these were pleasant and gently satirical portraits of a late Victorian household dominated by a gruff, opinionated father and a warm, charming mother. Day was a frequent contributor to The New Yorker magazine. Life with Father was dramatized by Howard Lindsay and Russel Crouse in 1939 and had a decade of success on the American stage.