Gay joined the trade body in September 2010, taking over from Chris Cummings, having previously worked for Prudential, Standard Life and Aviva.
A spokesman for AIFA said the date of his departure had not yet been resolved, but confirmed the process was underway to find a successor.
Gay said: “I am proud of the work that AIFA and AMI do for their members and what we have achieved during the past year.
“I am also extremely grateful for the support shown by our Council and Boards, and the dedication of all the staff at the organisation during what has been a difficult year for advisers.”In July, AIFA came under criticism from IFAs after announcing plans to accept restricted members in the wake of the retail distribution review.
The financial strain it has been under was recently revealed when it posted a deficit approaching £200,000 in the 12 months to 30 June 2011, despite putting cost cutting measures in place.
The announcement of Gay’s departure comes just two days after the organisation named its new policy director, Chris Hannant.
