In 1859, while attending the General Convention in Richmond during the controversy over John Brown's raid on Harpers Ferry, Lay was elected missionary bishop of the Southwest, with jurisdiction over "Arkansas, the Indian territory, Arizona and New Mexico", and consecrated by Meade, Cobbs, Leonidas Polk, Stephen Elliott and several others on October 23, 1859. Lay immediately moved to Arkansas, planning that his wife and three children would follow when he settled down. After an exploratory trip around his new diocese (which extended west to Phoenix, Arizona), Lay decided to make his base in Fort Smith, where Polk had established Christ Church in 1840. After returning to Huntsville for the birth of his son, Lay went on an extended tour from Savannah, Georgia to New York City to raise funds for his missionary work. In the summer of 1860, Lay moved his wife, four children and three slaves (including a newly purchased twelve-year-old named Lizzy) to Fort Smith, where a gift from a Virginia cousin enabled them to buy a small house so they could plant a vegetable garden and keep pigs, a chicken and a cow.