Shai played varsity squash and captained the varsity tennis team at Princeton University before attending Columbia University Law School. He spent 2001-2002 in Jerusalem, Israel clerking for Justice Mishael Cheshin on Israel's Supreme Court. Shai travels to Israel often and is active in the American Jewish Committee and other Jewish organizations in Washington, D.C. In the past, Shai would beat Ross regularly on the tennis court until Ross turned 15; then, the tables were turned forever.