While Norway’s Ole Einar Bjorndalen suffered a setback in his quest to become the most decorated Winter Olympian of all time, the 24-year-old Jay finished the course in 24 minutes 7.8 secs before heavy snow began to fall at Whistler Olympic Park.
Norwegian Emil Hegle Svendsen, a winner of four World Cup races this season, came in 12.2 seconds behind to clinch silver while Croatian Jakov Fak took the bronze in his first Olympics.
Bjorndalen, widely regarded at the best biathlete of all time, surprisingly missed three targets in the first round of shooting before finishing 17th as the later starters all struggled in the deteriorating weather.
Jay, whose only World Cup win came in the 20km individual event at Whistler last season, was the sixth athlete to start the race after a sun-splashed early morning in the mountains gave way to overcast and damp conditions.
Known for his accuracy with the rifle, the Frenchman was flawless through the prone and standing rounds of shooting to lie second overall before powering to victory ahead of the biathlon course being blanketed by falling snow.
French flags waved and the boisterous but good-humoured crowd cheered and rang their cow bells to celebrate Jay’s unexpected triumph.
"I’m known as a workaholic and I have a tendency to over-train, but Stephane, my physical trainer, calmed me down,” Jay said. "This is amazing. I still do not realise I have won."
In the build-up the man from Albertville had initially felt as if he was heading for the chopping block.
"I was really stressed this morning and my stomach was in knots," said Jay. "I was scared and it felt like I was going to the slaughter house. But after the warm-up, I felt good and the stress dissipated," he added.
Bjorndalen, who struck gold four times at the 2002 Salt Lake City Games, was the 21st athlete to start but he missed three targets in the first round of shooting to trail by 54.5 seconds in 52nd place.
Although he improved in the second round of standing shooting with just one penalty, he had too much ground to make up on the leaders.
"The skiing was OK for the first two laps," said the Norwegian who had been gunning for his 10th Olympics medal and needs four more to surpass the record of compatriot cross country skier Bjorn Daehlie.
"But I was shooting too bad and that was the reason why I wasn’t so good today."
Bjorndalen's 24-year-old team-mate Svendsen said: "I was extremely lucky. I knew for the rest of the guys behind me it was going to be hopeless.
"I knew I had a chance when I got to the finish area. I only started number 10 but I knew then it could be a medal because of the snow."
Bjorndalen’s poor showing will damage his chances of a podium finish in Tuesday's 12.5k pursuit in which start times are dictated by performance in the 10k sprint.
"Everything is possible but I think I'm now a little far away from the podium," said Bjorndalen, who finished 1:41.1 behind Jay.
Svendsen admitted his compatriot was "very disappointed" with his first performance at the Vancouver Games.
"Ole felt he was in very good shape," he said. "The conditions played a big role here. I guess that's the way it goes. That's outdoor sports.
"Who can predict? Last night it was raining. And when we came here it was sunny. All of a sudden it starts snowing. Who could believe that? It’s incredible."
Britain's Lee-Steve Jackson produced a personal best performance on his Olympic debut.
The 28-year old incurred two penalties on the range as he finished 55th out of 87 to qualify for the pursuit.
"My shooting could have been a bit better but I made the top 60, which I am happy about," said Jackson - who serves as a lance-corporal with the 2nd Battalion, Two Rifles.
"We knew a top result would be around 40th and taking into account penalties, we knew it would be close."
Place of birth: Albertville, France
No previous Olympic results:
Fourth, 2009 World Championships, 4x7.5km Relay
Jay, a French soldier, started competing in biathlon in 1999. His shock victory in Vancouver came after he took advantage of an early start in the best weather conditions to win the race.