Harry P. Guy was born in Meigs, Ohio, about 70 miles south of Zanesville, the latter being home of the famous Y-shaped bridge over the Muskingum River and Licking Creek along the original toll road laid out by Col. Ebenezer Zane which is present-day Interstate 70 and US 40. His Ohio born father Samuel Guy was a shoemaker, and his Virginia born mother Lucy Ann Hurley was a homemaker. Both were mulattos. The family moved to Zanesville shortly after Harry's birth. As a child Harry studied piano, violin and pipe organ. The family was shown in Zanesville in the 1880 enumeration. Harry worked as a newspaper boy for the Cleveland Gazette to earn extra money for the family, along with his younger sister, Jessie Ruth (7/1/1887). One other sibling, Bessie M. (7/17/1880) died just short of her sixth birthday. After his graduation from Hill High School, the family moved to Cincinnati, Ohio in 1886 or 1887. Guy continued his musical education there in public and private institutions and private instruction, sometimes working as an accompanist for local groups, including the Cincinnati Opera Club. It was there that he published his first work, The Floweret Waltz, in 1887.

In 1889 Guy went to New York on a scholarship to attend the National Conservatory of Music where the famed operetta and popular song composer and cellist Victor Herbert was one of his professors. Harry became heavily involved in Black musical affairs in New York, opening his own piano teaching studio, and even appearing once on stage at Carnegie Hall among other concerts. He also accompanied the famed Fisk Jubilee Singers of Fisk University Nashville when they visited Manhattan. On completion of his studies Harry taught at briefly at Paul Quinn College in Waco, Texas before moving to Detroit, Michigan, in 1895 where he would spend the remainder of his life.

It was in Detroit in 1895 that Harry married his wife Julia E. Owens, whom he had met in Texas and followed to her home state of Michigan. The city was a fortuitous choice in the pre-motor age, since Detroit was one of the major stops on both the vaudeville and theater circuits, so there was a lot of fresh musical activity in both black and white venues. He quickly became involved with the Black musical community in Detroit, eventually becoming a founding member of Fred S. Stone's Black musicians union. This organization largely dominated the future motor town musically in the 1900s and 1910s to the point that some white musicians had petitioned to join it so they could get work. Detroit also hosted the Colored Musical Society and the Iroquois Club. Harry played with a number of Detroit ensembles, including the Finney Orchestra, the Detroit City Band, and some groups of his own makeup. More importantly, he was the Music Minister at St. Matthew Episcopal Church in Detroit where he started and led a boys' choir during his twelve years there, having a positive influence on many of the black youth of Detroit. He also co-founded the first African American Music Academy there. After having lost one child, Chester, at birth in 1896, Harry and Julia had a son, Harry Maurice, on August 23, 1899.

One of Guy's earliest publications in Detroit was his often-recorded Echoes from the Snowball Club from 1898, named after his own early musicians union and colored social club, and considered to be the first "rag-time waltz". It was picked up along with some of his other pieces several years later by publisher Jerome H. Remick through their acquisition of the Whitney Warner firm. Snowball Club is notable for some syncopation, but in general is also a fine concert waltz. Another piece that followed in 1901, Pearl of the Harem, became a popular ragtime intermezzo and favorite of banjo player Harry Van Epps. Although several more compositions would follow, none were quite as popular as those two works.

Guy was listed in the 1900 enumeration in Detroit Ward 8 working as a musician. Detroit directories from 1903 through at least 1906 listed him as the director of the Harry P. Guy Orchestra. He was also listed as a musician in the 1910 and 1920 enumerations taken in Ward 5 in Detroit. It has been suggested that many musicians came to that city to either listen and learn from or perform with Guy given his fine pianistic skills. But the composition and band leading also led to engagements as an arranger, and Detroit firms like Remick also contracted him for that purpose. Detroit directories of the late 1910s reflect this by listing Harry as a "music writer." By 1920 his steadiest non-performance work was as an arranger for Harrison Music Company in Detroit, where he helped refine pieces by some well-known composers for many years. Many of Guy's arrangements went uncredited over the decades since he was admittedly more about making the music than he was about the fame or the money. Among the most notable of these were Japanese Sandman by Raymond Egan and Richard Whiting, Sleepy Time Gal by Egan and Whiting with Jos. R. Alden and Ange Lorenzo, and Weary by Allie Wrubel. Guy had also arranged music for Broadway stars Eddie Cantor, Bert Williams and composers Walter Donaldson and Buddy G. De Sylva.

The 1920 through 1927 Detroit directories had Harry P Guy listed under the heading of Music Publishers, just a little above Jerome H. Remick. From the early 1920s into the mid-1930s, he either arranged or provided melodies to submitted songs and poems, copyrighting them in the name of the submitter. It may have been through solicitation in magazines or papers, but clearly not a large-scale operation. He still considered himself as a composer as per the 1930 census, though not much had been published in the few years preceding except for a few vanity tunes with local lyricists. The Guy's son Maurice was still living with Harry and Julia, working as a sewer inspector for the city. As jazz progressed and the music Guy had championed for so long floundered even before the Great Depression of the 1930s, he faded into obscurity in his adopted city. Julia died on March 26, 1933, from septicemia exacerbated by influenza. By the time of the 1940 enumeration, Harry, now approaching 70, was living with Maurice, his son's wife Eolyn, and grandson Maurice, Jr. He still listed himself as a music arranger and private teacher, while Maurice was a safety engineer for the city. The last compositions copyrighted with Harry providing the music were from 1939, although there were a few arrangements for which he was responsible for appearing as late as 1943. The 1950 enumeration taken in early April showed him with no occupation, living with granddaughter Astoria, a nurse aid for the city hospital. Harry died nearly penniless at age 80 in Detroit and was buried in an unmarked grave in Elmwood Cemetery. In late 2003 Harry P. Guy finally received a headstone and additional recognition for his significant role in Detroit's music history.