Memphis has won two in a row, nine out of 11 and its three losses this season are the fewest in the NBA.
Gay hit 10-of-18 from the field and Quincy Pondexter went 6-of-6 while scoring 16 points. They led Memphis to a 50-percent shooting performance and a 14-point lead early in the second half.
New Orleans closed within one with 3:50 to play in the game, but a layup by Zach Randolph started Memphis on a 10-4 run to end the contest. Randolph finished with 15 points.
New Orleans was led by Austin Rivers' 15 points, the highest scoring game of his career. The Hornets finished a five-game homestand, during which they went 1-4.