At age 14, the Thompsons moved to Ladera Ranch, California, where Klay graduated from Santa Margarita Catholic High School in Rancho Santa Margarita in 2008.[1] In his junior season he was named to the All-Area second team and to the Orange County third team. As a senior Thompson averaged 21 points per game and led SMCHS to a 30–5 record and a Division III State Championship appearance.[1][13] During the state championship, Thompson set a state finals record with seven 3-pointers in a game.[13] He was named Division III State player of the year, League MVP, first-team Best in the West, and an EA Sports Second Team All American.[1]