Lay's debut recording, Holy Heartache, is a collection of 16 demos recorded at home. In 2018 she described it as "just me putting songs on Bandcamp," and commented "It never felt like an official release."
''All This Life Going Down'' (2016)
All This LifeGoing Down was released in 2016. Simon Weedn of the L.A. Record described the album as "one of the most beautifully delicate bedroom-pop albums one might hope to hear", praised its intimacy and observed that "There is never a moment that passes where it doesn’t feel like Lay is in the room, performing these songs by herself."
''Living Water'' (2017)
Living Water was released in 2017 by Mare Records, an imprint of Woodsist founded by Kevin Morby specifically in order to release the album. Writing in The Straits Times, Yeow Kai Chai compared Living Water to Nick Drake's Pink Moon and Vashti Bunyan's Just Another Diamond Day and wrote: "With an observant eye for nature's ways and an ear for the rhythms of the heart, intuits life's bountiful lessons." Philip Sherburne of Pitchfork praised "Home" as "a good glimpse of what makes Lay’s music special" and argued that "Living Water is shot through with a kind of ragged hope—not optimism, exactly, but a determined belief in the power of that life force to pull us all toward something like transcendence." In 2018, Lay released a live session recorded for Audiotree featuring three songs from Living Water, two from All This Life Going Down and two previously unreleased songs.
''August'' (2019)
August, Lay's first album as a full-time musician after quitting her day job and her first album for Sub Pop, was released in 2019. It was co-produced by Lay and Ty Segall and features a wider array of instrumentation than her previous albums. Mark Deming of AllMusic noted that the more complex sound did not come at the expense of a sense of intimacy, and wrote that "she creates tunes with a simple grace that's a superb match for the lyrics which revel in the glorious mysteries of the world around us. And it's welcome to hear a contemporary artist who so comfortably embraces their folkie side without a sense of irony and with both feet planted firmly in reality". Pitchforks Erin Osmon praised "Death Up Close" and "November" and argued that Lay's "vision is clear-eyed, poetic, and for all the ways she channels the greats... she also chisels her own name in the canon". Writing in Clash, Wilf Skinner commented that "August is best at its most meditative, even if its gravity belies a certain goofiness", and described the album as "more self-assured and hopeful" than Living Water; while Hannah Siden of Exclaim! praised Lay's "unusual choices in some places – playing with tempo, dynamics and instrumentals" and assessed the album as "hypnotic, assured" and "at its best when it locks into moments of relaxed momentum, buoyed by gently driving, repetitive instrumentals". In December 2019, Lay released "Blue" and "We Mend" through the Sub Pop Singles Club. In June 2020, Lay collaborated with Steve Gunn to cover Blaze Foley's "Clay Pigeons" as a fundraiser for the Black Visions Collective.