And he did it Down Under, in Australia of all places.
In 1995, Mahay made it to the Major Leagues as an outfielder with the Boston Red Sox. Unexpectedly, he got called up from Double-A Trenton to fill in for an injured player. Five games in center field, 4-for-20, three RBIs.
And, boom, even a tater.
"My last at-bat was a home run, and then I got sent down the next day," Mahay said.
The blast came against California's Mike Butcher, now the Angels' pitching coach. That was the last the Majors saw of Mahay as an outfielder. Most of that summer was an unpleasant .235 experience with Trenton.
When the Red Sox dispatched Mahay to their Australia affiliate, the Gold Coast Cougars, his hitting still sputtered. Mahay had an inspiration.
"I just wasn't getting any better. I played in the league down there for four months, still hitting about .250, wasn't really putting it together," he said.
"So just one day, one of our guys was throwing a side on the field and, jokingly, I told him I was going to start throwing. I started throwing off the mound, throwing strikes, and my coach saw me doing it."
That was Buddy Bailey, who also managed in the Red Sox system.
"He ended up seeing some good things from me, so he called back [to the U.S.] and asked if it was OK if I would play the outfield for seven, eight innings, and then if we were winning, come in and close out the game. And they said fine," Mahay said.
Mahay went to 1996 Spring Training as an outfielder, but the Red Sox quickly agreed that he'd have a better future as a pitcher. So it began that season in Sarasota, Fla., in the Rookie classification Gulf Coast League -- as far as you can get from the Majors.
Al Nipper, a Red Sox pitching instructor, taught Mahay an offspeed pitch and fine tuned his delivery.
"What impressed everyone was his arm strength in the outfield. He had a good, true arm with good carry and accuracy," Nipper said.
Mahay took that with him to the mound.
Amazingly enough, by 1997 he was back with the Red Sox, this time as a pitcher. The left-hander made his debut on July 17, at Baltimore, and got the victory. In 28 relief appearances that season, he was 3-0 with a 2.52 ERA. He was on his way.
"It did happen pretty quick," he said. "I always kid around and say, 'Why didn't I do it back in '91?'"
There were a succession of stops in the Majors (Red Sox, A's, Marlins, Cubs) and the Minors for a few years.
"It's been pretty rocky at times, of course," he said.
Finally, with the Rangers, where he spent most of the last five years, he settled into the pitching gig.
"Year after year after year, you learn something new, you get better, you get stronger, you get smarter," he said. "Probably 2003, 2004 it all started coming together, and I started to put together some pretty good seasons. In '05 I had a bad year, bounced back in '06 and had a really good year."
Last year -- when the Rangers traded him (with Mark Teixeira) to the Braves -- was a good one, too. Combined for those two clubs, Mahay was 3-0 with a 2.55 ERA in 58 games. At age 36, he parlayed that into a two-year, $8 million contract with the Royals.
Mahay is envisioned as a lefty setup man for closer Joakim Soria. On paper anyway.
"They can probably pencil it in but, as the season goes on, they'll figure it out I'm sure," he said.
So far this spring, Mahay has pitched four times and given up three earned runs in four innings. In Sunday's 13-1 loss to the Chicago Cubs, he gave up a run in the seventh on two singles and an RBI double by ex-Royal Andres Blanco.
Depending on the makeup of the bullpen, Mahay could be called on in left-vs.-left situations. Last season, he held left-handed hitters to a .189 average.
Mahay throws a fastball, split-finger and a slider.
"The fastball's got a little skip to it, a little giddyup to it," pitching coach Bob McClure said.
Mahay has pitched in 359 Major League games, has a winning record of 19-10, a nice ERA of 3.87 and even four saves. That's a long way from that chance day he threw off the mound in Australia.
"I'm older, wiser and I finally put together what I need to do as a reliever," he said. "It took some time. This is my 12th year pitching now. It doesn't come easy, that's for sure."
Dick Kaegel is a reporter for MLB.com. This story was not subject to the approval of Major League Baseball or its clubs.