Same as "what the hell" or "what the heck." Hugely popular in Britain. Hay is not a cuss like hell, its more on the level of heck. negative connotation.
by bilbodobby February 13, 2011
A common phrase used when one feels a feeling of strong bewilderment. While "What the Hay Neigh" originated from equestrian roots, it is now used far and wife outside of the field, a phrase known to all.
Person 1: I despise horses! They are some of the worst creatures known to man.
Person 2: "What the Hay Neigh"!?
Person 2: "What the Hay Neigh"!?
by KaiMakesGoodPhrases February 13, 2023