The dedication of his Rural Sports (1713) to Alexander Pope was the beginning of a lasting friendship. In 1714, Gay wrote The Shepherd's Week, a series of six pastorals drawn from English rustic life. Pope had urged him to undertake this task in order to ridicule the Arcadian pastorals of Ambrose Philips, who had been praised by a short lived contemporary publication The Guardian, to the neglect of Pope's claims as the first pastoral writer of the age and the true English Theocritus. Gay's pastorals completely achieved this goal, but his ludicrous pictures of the English country lads and their loves were found to be entertaining on their own account.

Gay had just been appointed secretary to the British ambassador to the court of Hanover through the influence of Jonathan Swift when the death of Queen Anne three months later put an end to all his hopes of official employment.

In 1715, probably with some help from Pope, he produced What d'ye call it?, a dramatic skit on contemporary tragedy, with special reference to Thomas Otway's Venice Preserv'd. It left the public so ignorant of its real meaning that Lewis Theobald and Benjamin Griffin published a Complete Key to what d'ye call it to explain it. In 1716 appeared his Trivia, or the Art of Walking the Streets of London, a poem in three books, for which he acknowledged having received several hints from Swift. It contains graphic and humorous descriptions of the London of that period. What is most interesting about the poem, however, is not the fact that it depicts the city with photographic accuracy, but that it acts as a guide to the upper, and upper middle class walkers of society. In taking a mock heroic form, Gay's poem was able to poke fun at the notion of complete reformation of street civility, whilst also proposing an idea of reform in terms of the attitude towards walking. In January 1717 he produced the comedy, Three Hours after Marriage, which was grossly indecent without being amusing, and was a complete failure. He had assistance from Pope and John Arbuthnot, but they allowed it to be assumed that Gay was the sole author of the Article.

Gay had numerous patrons, and in 1720 he published Poems on Several Occasions by subscription, taking in £1000 or more. In that year James Craggs, the secretary of state, presented him with some South Sea stock. Gay, disregarding the advice of Pope and others of his friends, invested all his money in South Sea stock, and, holding on to the end of the South Sea Bubble, he lost everything. The shock is said to have made him dangerously ill. His friends did not fail him at this juncture. He had patrons in William Pulteney, afterwards Earl of Bath, in the third Earl of Burlington, who constantly entertained him at Chiswick or at Burlington House, and in the third Duke of Queensberry. He was a frequent visitor with Pope, and received unvarying kindness from William Congreve and Arbuthnot. In 1727 he wrote for six year old Prince William, later the Duke of Cumberland, Fifty-one Fables in Verse, for which he naturally hoped to gain some preferment, although he has much to say in them of the servility of courtiers and the vanity of court honours. He was offered the situation of gentleman usher to the Princess Louisa, who was also still a child. He refused this offer, which all his friends seem to have regarded, for no very obvious reason, as an indignity. He had never rendered any special services to the court.

He certainly did nothing to conciliate the favour of the government by his next work, The Beggar's Opera, a Ballad opera produced on January 29, 1728 by John Rich, in which Sir Robert Walpole was caricatured. This famous piece, which was said to have made "Rich gay and Gay rich", was an innovation in many respects. The satire of the play has a double allegory. The characters of Peachum and Macheath represent the famous highwayman and gangster Jonathan Wild and the cockney housebreaker Jack Sheppard. At the same time, Jonathan Wild was understood to represent Robert Walpole, whose government had been tolerant of Wild's thievery and the South Sea directors' escape from punishment. Under cover of the thieves and highwaymen who figured in it was disguised a satire on society, for Gay made it plain that in describing the moral code of his characters he had in mind the corruptions of the governing class. Part of the success of The Beggar's Opera may have been due to the acting of Lavinia Fenton, afterwards Duchess of Bolton, in the part of Polly Peachum. The play ran for sixty-two nights. Swift is said to have suggested the subject, and Pope and Arbuthnot were constantly consulted while the work was in progress, but Gay must be regarded as the sole author. After seeing an early version of the work, Swift was optimistic of its commercial prospects but famously warned Gay to be cautious with his earnings: "I beg you will be thrifty and learn to value a shilling."

He wrote a sequel, Polly, relating the adventures of Polly Peachum in the West Indies; its production was forbidden by the Lord Chamberlain, no doubt through the influence of Walpole. This act of "oppression" caused no loss to Gay. It proved an excellent advertisement for Polly, which was published by subscription in 1729, and brought its author several thousand pounds. The Duchess of Queensberry was dismissed from court for enlisting subscribers in the palace. The Duke of Queensberry gave Gay a home, and the duchess continued her affectionate patronage until Gay's death, which took place on December 4, 1732. He was buried in Westminster Abbey. The epitaph on his tomb is by Pope, and is followed by Gay's own mocking couplet:

Life is a jest, and all things show it,

I thought so once, and now I know it.