Bay was born Kristine Carlin Bay in New York, New York, and has a sister named Kathryn Carlin Bay and a brother named Eric Bay. She is a former fashion model, represented by Ford Models throughout her career. Bay was often featured in Seventeen magazine, and was the face model for Estée Lauder cosmetics from 1983 to 1989. She is a 1985 graduate of the University of Pennsylvania.

She served as a correspondent for NBC's Today Show. She also wrote for Entertainment Weekly and Fortune.

Bay was a co-anchor of ABC's Good Morning America Sunday for four years and a correspondent for ABC's World News Saturday and World News Sunday. From 1991–1998, Bay was co-host with Ahmad Rashad of NBA Inside Stuff.

She was an anchor for CNN based in Los Angeles until 2000, and anchor of Moneyline News Hour. She was a freelance anchor and correspondent for MSNBC and NBC News during 2005 and 2006; she currently serves as an editor for the Huffington Post and special correspondent for Bloomberg Television.

Matt Lauer was her first co-host on a cable travel show.

Bay attended the all-girls Dominican Academy in New York, and graduated from Phillips Academy, Andover. She then attended the University of Pennsylvania as an undergraduate. She earned her MBA from the Stern School of Business at New York University.

She has two sons with her husband Robert Iger, the current CEO of the Walt Disney Company, whom she married in 1995.