A student at Markham College, an English private school in Lima, and later at Colegio San Agustín of Lima. Bayly's academic performance was not good, as he spent most of his time playing soccer. In his early youth he was coerced by his mother to work at the daily newspaper 'La Prensa' in order to become more responsible through a part-time job. He spent every afternoon after school at the office until late at night and journalism became his passion.

In 1982 he was accepted to the Pontificia Universidad Católica del Perú. After studying for four years, he dropped out of university.

His first television appearance was in 1983 during Peruvian municipal elections, interviewing candidates and politicians. Later on, he began a successful career as a late show host interviewing flamboyant and celebrity personalities.

Bayly's first late-night show, '1990 en America', got the attention of TV audiences and critics. The following year he hosted a copy of David Letterman's Late Show called 'Que hay de nuevo?', which was highly popular.

Bayly hosted late-night shows abroad at CBS Network Latin America and Telemundo Network for six years. After President of Peru Alberto Fujimori sought asylum in Japan after a ten-year term in order to avoid prosecution on charges of corruption, independent news media found itself in a more relaxed position. Bayly hosted political programme 'El Francotirador' ('The Sniper'), interviewing candidates to the 2001 Presidential Election. In that programme, he apparently offended several personalities with his political opinions, and finally had to quit. Inspired by the experience, Bayly wrote a book with the name of the show. Later he resumed the conduction of the programme.

Bayly writes a weekly column for the newspaper Peru 21.

In 2010, Bayly announced that he is running for president for the Peruvian general election, 2011 to succeed Alan Garcia.

His novel 'No se lo digas a Nadie' ('Don't Tell Anyone') inspired a screenplay in 1998 directed by Francisco Lombardi and starring Santiago Magill and Christian Meier. He wrote other novels, all of them on politics, sexual freedom and friendship.

• No Se lo Digas a Nadie (Don't Tell Anyone) (1994); film by Francisco Lombardi in 1998.
• Los Últimos Días de 'La Prensa' (The Last Days of La Prensa) (1996).
• Fue Ayer y No Me Acuerdo (It Was Yesterday, I Don't Remember It) (1997).
• La Noche es Virgen (The Night Is Virgin) (1997).
• Yo Amo a Mi Mami (I Love My Mommy) (1999).
• Los Amigos que Perdí (The Friends I Lost) (2000).
• Aquí no hay Poesía (There Is No Poetry Here) (2001)
• La Mujer de mi Hermano (My Brother's Wife) (2002), film by Ricardo de Montreuil in 2004
• El Huracán Lleva tu Nombre (The Hurricane Has Your Name) (2004)
• Y de Repente, Un Ángel (Suddenly, An Angel) (2005), finalist of Premio Planeta
• El Canalla Sentimental (The Sentimental Jerk) (2008).
• El Cojo y el Loco (The Crippled And The Crazy) (2009).
• Morirás Mañana: El Escritor Sale a Matar (You Will Die Tomorrow: The Writer Goes On to Kill) (2010).