He was born in Voorhees, New Jersey and first played baseball at Paul VI High School in Haddonfield, New Jersey. He attended Wagner College in Staten Island. Bailey was selected by the Milwaukee Brewers in the 16th round (475th overall) of the 2005 MLB draft, but decided to return to Wagner for his senior year and earn a degree in business administration. His Wagner number 17 jersey was retired in January 2010. He is only the fourth former student-athlete to be honored in that way.
Bailey was selected by the Oakland Athletics in the sixth round (188th overall) of the 2006 Major League Baseball Draft. He made the Athletics Opening Day 25-man roster for the 2009 season as a long shot and made his major league debut on April 6, 2009, tossing a scoreless inning against the Los Angeles Angels of Anaheim. Bailey was selected to represent the Athletics in the 2009 MLB All-Star Game in St. Louis. He broke the Athletics rookie save record on September 12 against the Minnesota Twins with his 24th save of the season.
After a final line of 26 saves and a 1.84 ERA, Bailey was named 2009 American League Rookie of the Year on November 16, 2009. He was selected again to the All-Star team in 2010, which he finished with 25 saves and a 1.47 ERA.
On September 12, 2011, Bailey was hit right above the temple by a line drive in batting practice. He felt fine, passed concussion tests, and sat out the next few days. He returned to action to face the Tigers a few games later. His ERA ballooned to 3.24, although he did finish with 24 saves.
On December 28, 2011, Bailey and Ryan Sweeney were traded from Oakland to the Boston Red Sox for Josh Reddick and two minor leaguers. On April 4, 2012, it was announced that Bailey would require reconstructive surgery on his right thumb and that he would begin the 2012 season on the disabled list. Bailey made his 2012 debut with the Red Sox on August 14, pitching a third of an inning in a loss to Baltimore. He finished the 2012 season with 15 1⁄3 innings pitched, a 7.04 ERA, and a 1.89 WHIP.
Bailey began the 2013 season as a middle reliever with the Red Sox, but when closer Joel Hanrahan was injured in mid-April, Bailey took over the closer job. Bailey compiled 8 saves, a 3-1 record and a 3.77 ERA in 30 appearances until he suffered a shoulder injury that kept him from playing for the rest of the season. After the All-Star Break, MRIs confirmed there was a torn capsule and damaged labrum in his throwing shoulder. He underwent shoulder surgery on July 24, ending his 2013 season. After the 2013 season, Bailey was non-tendered by the Red Sox, making him a free agent.
On February 22, 2014, Bailey signed a minor league deal with the New York Yankees with a $2.5 million salary if he made the major league roster and a club option for the 2015 season. After numerous setbacks in his recovery from his shoulder injury, Bailey was ruled out for the 2014 season on August 17. The Yankees signed him to a new minor league contract on November 7, 2014, after declining his 2015 option a few days earlier.
The Yankees promoted Bailey to the major leagues on September 1, 2015. On September 2, 2015, he entered in the 7th inning at Boston: his first appearance in 2 years. In 10 appearances, he posted a 5.19 ERA. On November 3, 2015, the Yankees declined Bailey's option for the 2016 season, making him a free agent.
Bailey signed a minor league contract with the Philadelphia Phillies in December 2015, receiving an invitation to spring training. He was called up to the Phillies on April 20, 2016. He was designated for assignment on August 2 and released on August 6.
On August 13, 2016, Bailey signed a minor league deal with the Los Angeles Angels. Bailey was called up in late August, collected 6 saves for the Angels in 12 games. On November 9, Bailey signed a one-year, $1 million contract to remain with the Angels. His 2017 season was cut short due to a shoulder injury, limiting him to 4 games.2009 American League Rookie of the Year
2009 American League All Star
2010 American League All Star
Bailey serves as Director of Development for the Strike 3 Foundation, a non-profit charity dedicated to pediatric cancer research, founded by former Athletics and Red Sox teammate Craig Breslow.