Say was born in Ankara, Turkey, and received his early training at the Ankara State Conservatory. He received a scholarship to study at the Robert Schumann Institute in Dusseldorf where he worked for five years with David Levine and he studied for three years at the Berlin Conservatory. In 1995 he won first prize in the Young Concert Artists International Auditions in New York. This immediately led to engagements around the world. He also won the Beracasa Foundation Prize in 1995, leading to a performance at the Festival International de Radio France-Montpellier. His first concerts in the United States after the appearance at the Young Concert Artists Auditions were at the 92nd Street "Y" in New York and at Kennedy Center in Washington. He has a strong interest in jazz and formed a quartet, Worldjazz, which began touring in 2000, and which has performed at the Montpellier, and at the Montreux and Istanbul Jazz Festivals.
He has performed with some of the world's great orchestras, including New York Philharmonic, the Concertgebouw Orchestra, the Vienna Symphony Orchestra, the BBC Philharmonic, and the Orchestre National de France. His repertoire ranges from the Baroque to the contemporary and he has recorded works by Bach, Haydn, Mozart, Beethoven, Liszt, Tchaikovsky, Stravinsky, and Gershwin. Say's compositions span a wide range of genres. He has written solo piano works, which he performs regularly, piano concertos, concertos for violin and for guitar, orchestral music, ballet, oratorios, chamber music, and film scores. His larger works are often programmatic, such as his first symphony, the Istanbul Symphony, which was premiered in 2010.