The site of Clay Park was bequeathed to Windsor in 1915 by the Davis family, who had previously farmed on this area. In 1917, the property was placed under the jurisdiction of the Parks Board and formally named Clay Park after former Windsor Mayor Henry Clay, whose term in office lasted one year in 1913.
Although baseball, softball and football games were popular activities at the park in its early years, such sports were banned in 1959 because of the park's small size and because of the frequent and excessive property damage suffered by area residents.
Improvements by the Parks Department in 2007 included the installation of new playground equipment, new pathways and fencing. Clay Park is a greatly improved facility and a well-loved neighbourhood park.