Malay was built as a private steam yacht of the same name in 1898 by Delaware River Iron Ship Building and Engine Works at Chester, Pennsylvania. On 28 April 1917, the U.S. Navy acquired her under a free lease from her owner, Hannah P. Weld of Boston, Massachusetts, for use as a section patrol vessel during World War I. She was commissioned as USS Malay (SP-735) on 16 June 1917.
Malay patrolled waters along the United States East Coast for the rest of World War I.
On 1 March 1919, the Navy returned Malay to Weld, who sold her to a buyer from Honduras in 1921.