Champion in the 100m and 200m, Gay became only the second man to achieve the feat at a single world championships when he teamed up with Darvis Patton, Wallace Spearmon Jr. and Leroy Dixon to match compatriot Maurice Greene's 1999 feat.
The American men ran 37.78 seconds to beat Jamaica into silver just as their women had done minutes earlier when Allyson Felix collected her second gold of the championships.
Brad Walker chipped in on a fantastic night for the States, becoming the first American to win the men's pole vault at a world championships but the night belonged to Gay.
"It really put the icing on the cake," Gay smiled. "I was extremely tired but my team mates asked me to come out and do it one more time.
"After the semi-final the coaches came to me and asked me to run the third leg to give us the lead and I knew we would have no problem.
"It feels great... I didn't come to the championships thinking about three gold medals. At the same time I think that's why I got them. I just came to have fun."
The victory was achieved despite two clumsy handovers involving Gay, who described receiving the baton from training partner Spearman Jr. as "the worst hand off we've ever had."
In the women's race, 200m champion Felix received the baton from Lauryn Williams and passed it to Mikele Barber before Torri Edwards held off Jamaica's 100m gold medallist Veronica Campbell to win by just three-hundredths of a second in 41.98 seconds.
It was the second time in two days Felix had foiled Campbell's gold rush, the American beating Campbell into silver in the 200m on Friday.
Belgium took bronze ahead of Britain for their first women's 4x100m relay medal in a world championships or Olympics.
"It's special... I can't wait to do it again tomorrow," said Felix who goes for her third gold in the 4x400m relay on Sunday.
Czech world record holder Roman Sebrle confirmed his place as the world's best all-round athlete by winning the decathlon with 8,676 points, 350 off his 2001 record.
Maurice Smith won silver and Jamaica's first world championships decathlon medal with 8,644 points, having led with just two events to go. Kazakh Dmitriy Karpov was third (8,586).
"This is the toughest of all my titles and very emotional," Sebrle said. "Now I have a full collection of medals and titles but my motivation still remains."
Walker beat Romain Mesnil of France on a countback to win the pole vault. Both men vaulted 5.86 metres but the American won the gold because he cleared the height at his first attempt while Mesnil took two goes.
Danny Ecker of Germany won the bronze, also on countback, after six men finished level on 5.81.
Ethiopia's world record holder Meseret Defar won her first outdoor world title with victory in the 5,000 metres.
The 23-year-old was hot favourite after team mate Tirunesh Dibaba skipped the race due to stomach cramps following her 10,000 metres triumph.
Olympic champion Defar won in 14 minutes 57.91 seconds. Kenya's Vivian Cheruyiot was second with fellow Kenyan Priscah Jepleting Cherono winning bronze.
"Finally I am world champion," Defar smiled. "I ran for my country and I wanted the gold medal and today I was 100 percent sure I would win."
Australia's Nathan Deakes won the men's 50km walk in an event noteworthy for a blunder by officials.
Japan's Yuki Yamazaki was guided into Nagai stadium towards the finish with one lap remaining and failed to receive an official time when he crossed the line because he was short of the mark.