This, just hours after meeting his new teammates on the fly, and answering endless questions from the media about the perceived pressure of being traded for a hitter such as Manny Ramirez.
There have been numerous clutch hits since then, not to mention steady defense and savvy baserunning. Does anything faze Bay?
It doesn't seem so, and Bay credits his father, Dave, as a big reason for his even-keeled nature.
"He's not one of those people that breaks down mechanics of the swing or anything," Jason Bay said of his father. "I do my own thing and he's always there to offer support, but not pinpointing, 'Hey, it looks like you're getting your foot down late, it looks like you're lunging,' and compounding things.
"He's just like, 'OK, you'll do it.' Or, 'It's just one bad game.' He's kind of where I got that whole even-keel thing. When I talk to him after a really good day, it's not, 'Hey, dad, I'm the best player in the world,' or after one really bad game, it's not, 'Hey, I'm going to quit.' He's been huge at keeping me that way."
When Bay takes the field at Fenway Park on Sunday -- Father's Day -- against the Braves, he will do in his typically understated manner. The father of daughters Addison and Evelyn, the husband of Kristen, the son of Dave and Kelly, Jason Bay is a star for the Boston Red Sox. But he doesn't act like one. Instead, he is a regular guy with a dry wit. Bay is a native of Trail, British Columbia, Canada, where his parents still live.
"It's been a fun ride," said Dave Bay. "I never thought in my wildest dreams he'd be at the stage he's at now, not coming from a small town in British Columbia. It's kind of surreal. My wife and I just kind of look at each other when we're watching the game and say, 'Well, do you believe what's going on?'"
Much of who Jason Bay is -- the loyalty, the perspective, the work ethic -- comes from his dad.
Remember that where Bay comes from, hockey is king. So when he decided at age 11 or 12 that he didn't feel like making a strong commitment to that sport, what did his dad do? Dave Bay pretty much nodded his head in support.
"When I was young growing up in Canada, you played hockey in the winter and in the summer you played baseball," said Jason Bay. "Baseball, I would get there hours early; I couldn't wait. Hockey was more of like, 'eh.' For me, there wasn't the passion for it.
"I remember, I was maybe 11 or 12, looking at him one early morning and getting up to go, and I was like, 'I don't really want to go.' My dad was like, 'I don't want to take you if you don't want to go. You don't have to do this.' I was like, 'I don't?' He was like, 'No, if you don't want to do it, don't do it.' I was like, 'To be honest with you, I don't.'"
From there, Jason Bay put most of his athletic priority on baseball, and Dave Bay was there for guidance and support.
"He would say he wasn't the most knowledgeable baseball guy in the world, but he coached a lot of teams and put in a lot of time," said Jason Bay. "He understands baseball, but his profession is not a baseball coach. At that level, and with those kids, it's more about the time. Looking back, I appreciated him juggling the job and my sisters, as well. He didn't necessarily have all that time, but he made it work."
Dave Bay has worked at the same smelter in Trail for his whole professional life -- "since the day he graduated from high school," according to Jason.
"When you work for a company, you don't get a lot of days off," said Jason Bay. "We had summer tournaments and a lot of them were on the weekends; we had practices and all these things he had to organize. At the time, you don't really think much of it, but looking back, even though a lot of people have done it, it was a pretty big sacrifice.
"He kind of went the extra mile and was like, 'All my free time is going to be devoted to this.' I would like to think that from him, I got that stick-to-it-iveness. The hard working part, I think I got from him."
Dave Bay never over-coached his son, and even though Jason is now one of the best hitters in the American League, his dad doesn't stay awake dissecting the nuances of his swing.
"He's been great as far as, he really kind of keeps baseball separate," said Jason Bay. "He understands that it's a very, very big part of my life. Aside from my wife and kids, probably the biggest part of my life. But always, when he calls, he says, 'How are the girls, how is everybody?' Whether it was a good day or bad day, it's just, you guys won or lost or whatever, but never really dwelling."
When Jason Bay was dealt from the Pirates to the Red Sox, it was another surreal moment for dad. Dave Bay, you see, has long been a Red Sox fan.
As Jason Bay explains, baseball followers in Trail used to be fans of either the Red Sox, Yankees and Dodgers because they were the teams on television most often. Dave Bay, for whatever reason, chose the Red Sox.
"It's kind of a dream on top of a dream, because I am a huge Red Sox fan -- always have been," said Dave Bay. "It was Jim Rice, Freddie Lynn and of course Yaz and the guys. I grew up with that Red Sox mentality, and I'm a bit of a baseball nut anyway. So just seeing him play in the Majors and going from Pittsburgh to Boston was ... I know it was a bigger deal for me then it was for Jason, that's for sure."
Things tend not to be big deals for Jason. The son of Dave Bay has always just kind of gone with the flow.
"That's his personality," said Dave Bay. "He's been like that ever since he's been a little kid. He just kind of blends in with everybody. Whatever environment is there, he seems to just blend in with it all."
And it doesn't take Jason Bay long to point out who he got that enviable trait from.
Ian Browne is a reporter for MLB.com. This story was not subject to the approval of Major League Baseball or its clubs.