Say was from Norfolk but moved to London to learn mezzotint engraving from the engraver James Ward.

Say became a successful mezzotint engraver, specialising in portraiture and copies of Old Master paintings. He also carried out engraving and mezzotint for some landscape plates in several of JMW Turner’s series. In 1807 Say engraved portraits by William Beechey of the Duke and Duchess of Gloucester, from which he gained a Royal Appointment as their official engraver. He exhibited his work regularly at the Royal Academy in London and became notable for creating the first mezzotint engraving using a steel, rather than a copper plate.

His son, Frederick Richard became a fashionable portrait painter.