Szalay was born in Montreal in 1974 to a Canadian mother and a Hungarian father. His family then moved to Beirut. They were forced to leave Lebanon after the onset of the Lebanese Civil War. They then moved to London. Szalay studied at the University of Oxford. After leaving university, Szalay worked various jobs in sales in London. He moved to Brussels, then to Pécs in Hungary to pursue his ambition of becoming a writer. Szalay lives in Budapest, with his wife and two children.
Szalay has written a number of radio dramas for the BBC. His 2018 book of short stories Turbulence originated in a series of 15 minute programs for BBC Radio 4. The twelve stories of Turbulence follow different people on flights around the world. It explores the globalization of family and friendship in the 21st century.  He won the Betty Trask Award for his first novel, London and the South-East, along with the Geoffrey Faber Memorial Prize. Since then he has written two other novels: Innocent (2009) and Spring (2011).
A linked collection of short stories, All That Man Is, was short listed for the Man Booker Prize and won the Gordon Burn Prize in 2016. The Spectator said that "nobody captures the super-sadness of modern Europe as well as Szalay." The Observer questioned its structure and whether or not it qualifies as a novel in the traditional sense: "does it in any sense work, as Jonathan Cape wants us to believe, as a novel? Yes, there’s a thematic consistency that makes this more than a collection, and Szalay even throws in the odd narrative link (the 73-year-old, it transpires, is the 17-year-old’s granddad). But still, a novel? I don’t think so."
- London and the South-East
- Innocent (2009)
- Spring (2011)
- All That Man Is (2016)
- Turbulence (2018)
Critical studies and reviews of Szalay's workEdit
- Stein, Lorin (Summer 2016). "Writing All That Man Is: An Exchange". The Paris Review. Retrieved 2017-02-07.
- Clark, Alex (8 Dec 2018). "David Szalay: 'I'm laughing at myself when I write about vanity and self‑absorption'". The Guardian. Retrieved 3 March 2019.
- "David Szalay". Unitedagents.co.uk. Retrieved 2016-10-29.
- Liu, Max (4 January 2019). "Writer David Szalay: 'Any single story would fail to do justice to life today'". Financial Times. Retrieved 3 March 2019.
- Alison Flood and Mark Brown. "Man Booker shortlist 2016: tiny Scottish imprint sees off publishing giants | Books". The Guardian. Retrieved 2016-10-29.
- Flood, Alison (7 October 2016). "David Szalay's 'unsparing' All That Man Is wins Gordon Burn prize". The Guardian. Retrieved 8 November 2016.
- Cook, Jude (16 April 2016). "All That Man Is: a novel view of masculinity". Spectator. Retrieved 11 August 2016.
- Skidelsky, William (3 April 2016). "All That Man Is by David Szalay review – tales of love and money". Observer. Retrieved 11 August 2016.
- Books. "Are these Britain's best 20 novelists under 40". Telegraph.co.uk. Retrieved 2016-10-29.
- Online version is titled "Nine tales of crises in 'All that man is'".