Pedro was born to Hungarian parents and is a native of La Guaira, Venezuela where he started dancing in a local school. He received a scholarship for Ballet Nacional do Caracas School and was later promoted to a company dancer for the National Ballet of Caracas. There he danced many of Negrada's choreographed pieces.

Later he traveled to New York City to be coached by Madame Darvash and performed with New York Dance Theater.

Szalay was a company dancer with the Richmond Ballet from 1996 to 2006 where he danced pieces from Stevenson, Orff, Canaporoli, Wainrot, Lang, Burn, Balanchine, Soleau, Winslett and many others.

Szalay is an experienced teacher and choreographer, too. He has been a guest performer with Latin Ballet of Virginia. He served as a coach and choreographer for the School of Richmond Ballet and other local ballet schools. Szalay has also served as artistic advisor for Chesterfield,VA Ballet School.

He has been a guest teacher thoughout South Carolina as well as in Philadelphia,PA and Lynchburg, VA's Virginia School of the Arts. He was a coach for the Wheel Chair Miss Richmond and he choreographed the Miss Richmond pageant in 2002-2003. He has been Guest Professor at Washington and Lee University.

Szalay has been with the Minds in Motion program of Richmond Ballet since 2003. He is the Minds In Motion Instructor of Southwest area; he teaches in Martinsville City & County and Roanoke City Public Schools.

Szalay is the artistic director of Southwest Virginia Ballet in the Roanoke Valley. He teaches at the Dance Centre of Southwest Virginia. (Formerly the Post School of Ballet) in Salem,VA.