The Oakland Athletics claimed him off the waiver wire, and he appeared in six games for the A's in 1999 and 5 in 2000, including three games as a starter.
Florida Marlins
He was purchased by the Florida Marlins in May from the Athletics. While pitching for the Marlins, Mahay recorded his last two Major League hits, a single and a double, in four at-bats. He appeared in 18 games with the Marlins, and recorded a 6.04 ERA.
He signed with the San Diego Padres as a free agent in November 2000 but was released on May 15, 2001, after appearing in 14 games with the Portland Beavers in AAA.
Chicago Cubs
Mahay signed with the Chicago Cubs on May 19, 2001, Over the next two seasons he was 2-0 with an 8.59 in 11 appearances with the Cubs.
Texas Rangers
Mahay signed with the Texas Rangers in December 2002, and started the season with the Triple-A Oklahoma RedHawks. In June of that year, he was called up to Texas, and remained with the big league club almost exclusively until his tenure with the Rangers ended. was a career year for Mahay, as he notched a career-highs in appearances, ERA and strikeouts. He was one of the mainstays of the Rangers' bullpen from 2003-, especially in the and seasons, as Mahay was one of only two regular left-handed relievers on the Rangers' roster.
After the 2007 season, Mahay reached an agreement on a two-year, $8 million contract with the Kansas City Royals.
Minnesota Twins
On August 28, 2009 Mahay signed with the Minnesota Twins as a free agent, after being released by the Royals. At the end of the 2009 season, Mahay became a free agent. He signed a minor league contract to rejoin the Twins during 2010 spring training. He returned to the majors on April 15, 2010.
Los Angeles Dodgers
On February 3, 2011 he signed a minor league contract with the Los Angeles Dodgers, that included an invite to spring training. He was unable to win a spot on the Dodgers major league roster and was released on March 26.
Mahay signed a minor league contract with the Arizona Diamondbacks on April 8, 2011, but was released on May 13.
St. Louis Cardinals
He signed a minor league contract with the St. Louis Cardinals on July 5, 2011, and was assigned to the Triple-A Memphis Redbirds. He elected to become a free agent on August 12. He made 12 appearances for Memphis, recording a 1.64 ERA and a 1.000 WHIP.
Cincinnati Reds
On January 13, 2012 Mahay signed a Minor League contract with the Reds but was released on May 11 after posting a 4.50 ERA in only 18 innings of work. On January 27, 2013, Mahay officially announced his retirement from baseball.
Personal
Mahay and his wife, the former Alison Palmieri, were married on November 7, 1998. They have 2 daughters, Madison Parker and Mackenzie Reece, and a son, Mason Patrick. Mahay now lives in Burbank, California, where he has been an assistant varsity baseball coach at John Burroughs High School.