Dragoons were quartered in his house, and his family were subjected to serious annoyance. He was imprisoned in the castle of Rochelle, but was released through the influence of some Roman Catholic connections. Having at the time several vessels out at sea which were expected soon in port, he desired a Protestant pilot in his employ to take the first of these vessels that should arrive to a place agreed upon the Island of Rhe. The ship that arrived first was one from Spain, of which he was the sole owner. The pilot was faithful to his trust, and in due time Mr. Jay reached England and rejoined his family, whom he had sent to England some time before, at Plymouth.

Augustus Jay returned to France from Africa, ignorant of these family changes. As it was unsafe to appear in Rochelle openly, he was secreted for some time by his aunt, Madame Mouchard, a Protestant, but whose husband was a Roman Catholic. With the help of his friends he escaped to the West Indies, and thence to Charleston, S. C. The climate proving unfavorable, he removed to Philadelphia and afterwards to Esopus on the Hudson River, where he entered into business ; but ultimately settled in New York. He re-visited France and England in 1692, and saw his father and sister ; his mother had lately died.

In 1697 he married, in New York Anna Maria, daughter of Balthazar Bayard, the descendant of a Protestant professor of theology at Paris in the reign of Louis XIII., who had been compelled to leave Paris and take refuge with his wife and children in Holland ; whence several members of the family came to America. Mrs. Jay was a woman of eminent piety. It is mentioned that she died while on her knees in prayer.