Cape Cod Bay is a large bay of the Atlantic Ocean adjacent to the U.S. state of Massachusetts. It is enclosed by Cape Cod to the south and east, and Plymouth County, Massachusetts, to the west; to the north of Cape Cod Bay lie Massachusetts Bay and the Atlantic Ocean. Cape Cod Bay is the southernmost extremity of the Gulf of Maine. Generally, currents in the Bay move in a counter-clockwise fashion, moving south from Boston, to Plymouth then east and then north to Provincetown. Most of Cape Cod is composed of glacially derived rocks, sands, and gravels. The last glaciation ended about 10,000 years BP. During the end of the last glaciation, Cape Cod Bay was probably a large freshwater lake with drainages across Cape Cod in places like Bass River and Orleans Harbor. The Provincetown Spit, i.e., the land north of High Head in North Truro, was formed by marine deposits over the last 5-8,000 years. These deposits created Provincetown Harbor, a large, bowl-shaped section of Cape Cod Bay.

Since 1914, Cape Cod Bay has been connected to Buzzards Bay by the Cape Cod Canal, which divides Cape Cod from the rest of mainland Massachusetts.

Cape Cod Bay is one of the bays adjacent to Massachusetts that give it the name Bay State. The others are Narragansett Bay, Buzzards Bay, and Massachusetts Bay.