Caerfai Bay is a rocky cove on the north coast of St Brides Bay near St Davids in Pembrokeshire, West Wales. It is enclosed by steep varicoloured cliffs and has a sandy beach at low tide accessed by pathway and steps. The beach is situated in the Pembrokeshire Coast National Park and on the Pembrokeshire Coast Path. There is free parking above the beach with picnic benches and views of the islands of , Skomer and Skokholm.