Lay spent seven years in prison, where he became a trustee to the warden. In this role, he once accompanied the warden to Santa Fe. Upon their return, they found that the inmates had taken the warden's wife and daughter hostage inside the prison. Lay was able to convince the prisoners to release the women, and for this act he was pardoned by Governor Miguel Antonio Otero on January 10, 1906.[6]

Upon his release he found his way to Baggs, Wyoming, a small ranch town just north of the Colorado border. There he worked as an oil explorer and saloon owner without much success. There he met and married Mary Calvert. He and Mary then moved to Southern California where he supervised the building of the Colorado River Aqueduct system in Riverside and Imperial Valley just north of the border with Mexico. He and Mary raised two children, a son and a daughter.