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"At the Bay" is a 1922 short story by Katherine Mansfield. It was first published in the London Mercury in January 1922 in twelve sections, and later reprinted in The Garden Party and Other Stories (1922) with a short descriptive coda which is now the thirteenth section. The story represents Mansfield’s best mature work, a luminous example of her literary impressionism. While writing it at the Chalet des Sapins in Montana (now Crans-Montana), Switzerland, she was coming to terms with her relationship with her husband John Middleton Murry and with her own origins and identity.

Along with Prelude, The Doll's House and The Garden Party she uses her childhood in what are her most famous New Zealand stories, stories which display her talent at its most commanding and indescribable. She saw them as part of a “novel” to be called Karori (after the suburb she grew up in) and having two story cycles about the Burnell family and the Sheridan family.