Kay Wilhelm Louis Christian von Barnekow Dollerup Christensen was born on July 24, 1899 at Taffelbay in Hellerup, Denmark. He was the son of the Chief Constable, later deputy police director in Copenhagen Valdemar Christian Dollerup Christensen (1859-1933) and Camilla Louise Henriette Barnekow (1857-1920).

Though Kay Christensen was mostly self-taught he did study with Marie Sandholt and Astrid Holm and was a student at the Kunstakad. Cph., Graphic School between 1929-31. Other painters who have influenced him were Niels Larsen Stevns, Ernst Zeuthen and Torben Arvig Jensen, besides the Swedish painters Ebba Grubb and Thor Fagerlin.

Christensen traveled frequently to France and he was quite familiar with French art. He was especially influenced by Cubism and Fauvism and glimpses of those can be seen in his work. Christensen's motifs include landscapes and urban environments, indoor and outdoor images with the woman and the child as main figures, and portraits. The fairytale figure of Miriam became an overall theme for Christensen and became a symbol of beauty and happiness in life.

Christensen’s interest in poetry was aroused by meeting poet Reinar Maria Rilke during a stay in Munich. Christensen ultimately became known as an illustrator, and the produced a great number of drawings and graphics, including many book illustrations, all the time continuing to paint.

Kay Christensen died on November 11, 1981 at Katrinebæk by Lundby, Zealand, Denmark. He is buried at Assistant Cemetery in Svendborg, Denmark.