After serving on this station, Clay was promoted to post-captain on 29 April 1802. He served from 20 July 1805 until May 1808 as the Regulating Officer at Belfast, and then joined the 98-gun as her commanding officer. During this time "St George" was the flagship of Rear-Admiral Sir Eliab Harvey. Clay then moved to take command of the 98-gun on 6 February 1809, with orders to return to the Baltic as the flagship of Rear-Admiral Sir Manley Dixon. War had broken out with the Danes after the Second Battle of Copenhagen in 1807, and a British fleet was stationed in the Baltic under Sir James Saumarez. "Temeraire" arrived in May 1809 and was sent to blockade Karlskrona on the Swedish coast.