On June 21, 1856, accompanied by his son, he started to Westport, Missouri, and when he was about two miles from there, he was met by three men. One of them offered him a drink, and in the course of the conversation, Gay was asked whether he was for or against slavery. He replied that he was from Michigan, but this indirect answer did not satisfy his inquisitor, who repeated the question. Gay then replied that he was in favor of making Kansas a Free State.
No sooner were the words out of his mouth, when he was shot several times and fatally wounded. His son was also wounded but managed to make his escape. It was thought by some that robbery was really the motive for Gay’s murder, the perpetrators hoping to find the key to the safe in which the agency money was kept. However, if they found the key they were afraid to attempt to use it because of the storm of indignation aroused by the murder.
Source: Blackmar, Frank W., Cyclopedia of State History, Volume I, Standard Publishing Company, Chicago, IL 1912.