Gay said he will pull out of the IAAF World Championships next month in Moscow.
Gay did not reveal the substance, but he said he was notified by the US Anti-Doping Agency on Friday that a sample came back positive from an out-of-competition test on May 16.
He also stated he will have his 'B' sample tested soon.
The 30-year-old Gay fought back tears in a phone conversation Sunday from Amsterdam, saying: "I don't have a sabotage story. ... I basically put my trust in someone and was let down."
Gay was fit and healthy again this season after being constantly plagued by hamstring and groin ailments, along with a surgically repaired hip.
He won the 100 and 200 meters at the US national trials last month. His 100 meters personal best of 9.69 seconds is the American record, and makes him the second-fastest athlete ever behind Usain Bolt.
Tyson was the first athlete in University of Arkansas history to win an NCAA 100m title.