Key was an outstanding baseball player at S. R. Butler High School in Huntsville, Alabama. He compiled a 10–0 record, and had nine shutouts and a 0.30 ERA in his senior year. Key was also an excellent hitter, batting .410 with 11 home runs and 35 RBIs in his high school career.
Key made his Major League debut on April 6, 1984 and was utilized in relief situations through his inaugural year, notching 10 saves and a 4.65 ERA. He wore number 27 in his first season and 22 for the duration of his Blue Jays career.
Key moved into the starting rotation in 1985 and quickly became a cornerstone in the rotation, leading the Blue Jays to their first postseason appearance that year. More postseason appearances would follow, culminating in a World Series championship in 1992. In the 4th game of that series, Key made his final start for the Blue Jays, surrendering one run over 72⁄3 innings to earn the win and put the Jays up 3–1. He left the game to a tremendous ovation. Key would appear once more in the series, as a reliever in the 10th and 11th innings of the 6th and deciding game, earning another winning decision in the series.
Key signed a four-year contract as a free agent with the New York Yankees on December 10, 1992. He posted a 49–23 record in 94 games over three seasons with the Yankees. He had his career high of 173 strikeouts in the first year with the Yankees in 1993, and he led the majors with 17 wins in the strike-shortened season of 1994.
He spent time with the Gulf Coast Yankees (1–0 and 0.00 ERA) and Tampa (0–0 and 2.77 ERA) of the Florida State League during rehab assignments during his last season with New York in 1996. In his final start as a Yankee, he outdueled Greg Maddux of the Atlanta Braves in the deciding game of the World Series.
Key signed as a free agent with the Baltimore Orioles on December 10, 1996 and posted a 22–13 record in 59 appearances over two seasons. A free agent in his final season, Key retired from the game after the 1998 season largely due to injuries. He made US$7.73 million with the Orioles over 2 seasons. He wore the number 21 with the Orioles (22 having been retired by Baltimore in honor of Hall of Famer Jim Palmer.) He was assigned to Fredrick of the Carolina League in 1998 (1–0 3.00 ERA) during his final rehab stint. Key was granted free agency for the last time on October 27, 1998 by Orioles GM Pat Gillick, the same GM who granted him the same conditions in Toronto in 1992.
Key was one of the premiere control pitchers in the game with a good strikeout-to-walk ratio over most of his career. His fastball was not particularly speedy, but was often effective as he could spot it on both corners of the plate—although when his pitch went high, opponents fared well. He also possessed a fine backdoor slider. He had a very good pickoff move to first base, which he notably demonstrated in Game 4 of the 1992 World Series by picking off Otis Nixon, one of the game's premiere base stealers at the time. (During his windup his right knee was bent so that his right foot did not cross the rubber and he could throw to first base without incurring a balk).
Key tended to give up more than his share of home runs even while holding his opponents' on-base percentage to a low level. He was injury-prone with significant down time in 1988, 1989, 1990, 1995, 1996 and 1998. Contrary to some reports, Key never underwent Tommy John surgery surgery. Instead, noted surgeon James Andrews removed bone chips, costing Key several months in the middle of the 1988 season.