He used Mesquite to perfect his skills on both bulls and broncs. His father ran the Mesquite Rodeo, which still operates today. Don grew up in Mesquite, Texas, and started rodeo at age six. Neal then married Kay Gay, who raised Don and his brother Pete as her own. He was only a year old when his mother died of leukemia. Don Gay was born on September 18, 1953, in Mesquite, Texas, to Neal Gay and Evelyn 'Cookie' Foster.