In 1939 Gene McNulty, as Day was then known, sang on network radio with bandleader Larry Clinton. The Clinton broadcasts were aimed at the collegiate audience, and were often broadcast from a college campus. The 23-year-old McNulty won an audience poll as a favorite vocalist.
Day appeared for the first time on Jack Benny's radio show on October 8, 1939, taking the place of another tenor, Kenny Baker. He remained associated with Benny's radio and television programs until Benny's death in 1974. He was introduced (with actress Verna Felton playing his overbearing mother) as a young (nineteen-year-old), naive boy singer – a character he kept through his whole career.