Valday or Valdai may refer to one of the following:
- Valdai Hills, an upland region in Russia
- Valdai Discussion Club
- Valday (inhabited locality), name of several inhabited localities in Russia
- Lake Valdayskoye (or Lake Valdai), a lake in Novgorod Oblast, Russia
- Valday (ship), a class of Russian freight ships
- Dolgiye Borody (residence): a residence of the President of Russia, also commonly known as "Valdai"