Vijay started his cricket at the age of 17. He first played club cricket in Chennai representing Alwarpet in 2003. He was then selected in the Tamil Nadu Under-22 squad for the 2004-05 CK Nayudu Trophy. Tamil Nadu Under-22 won the tournament, but, opening the innings, Vijay averaged just 26.45 in 6 matches. He continued to play club cricket in 2005, before getting selected again in the Tamil Nadu Under-22 squad for the 2005-06 CK Nayudu Trophy. He failed to impress once again, averaging 26.50 in 3 matches.

Despite his below-average performances in club cricket and Under-22 tournaments, Vijay was selected in the Tamil Nadu squad for the Ranji One-day Trophy in February 2006. He made his senior cricket debut in Tamil Nadu's last group fixture of the tournament, against Karnataka on 16 February, and scored 17 in that match. He scored 38 in the quarterfinal against Railways who won the match by one run.

Vijay rose to prominence during the 2006-07 Ranji Trophy, his debut first-class season, in which he finished as the third highest run-getter of the tournament, only behind Karnataka's Robin Uthappa and Bengal's Manoj Tiwary. At the start of this tournament, he made his first-class debut against Delhi and scored a fifty in his debut innings. He accumulated a total of 628 runs at an average of more than 52, including two hundreds and one fifty. He continued his good form in the 2006-07 Ranji One-day Trophy by scoring 277 runs in 7 matches at an average of 39.57 and a high-score of 112.

Vijay played in all seven matches of Tamil Nadu in the 2007-08 Ranji Trophy and scored 582 runs at an average of 58.2 with two hundreds including a high-score of 230* against Saurashtra. After the conclusion of Ranji Trophy, he was selected in the South Zone squad for 2007-08 Duleep Trophy. He batted at 3 in the first match against North Zone and scored a duck and 39. In the second game against East Zone, batting at 3 in the first innings, he scored 46, and registered another duck in the second innings while opening the batting. In the Vijay Hazare Trophy (earlier called Ranji One-day Trophy) that followed, Vijay played seven matches in which he opened the innings thrice and batted at 3 on four occasions. He found success batting at 3, making back-to-back hundreds against Hyderabad and Andhra.

In September 2008, Vijay was picked in the India A team to play