The Cay opens in February 1942 on the island of Curacao, then part of the Dutch West Indies. When Phillip is ship wrecked, the setting shifts to an unnamed cay deep in the Devil's Mouth, long U-shaped coral banks in the Caribbean. Most of the action takes place between April and August of 1942, although the narrative actually concludes in April of 1943 and the entire book is written from the perspective of an adult Phillip recalling his childhood adventure.