At the age of 12, Roy went to a seat of Muslim studies in Patna where he mastered Persian and Arabic. His knowledge of Arabic enabled him to read the Koran in the original, as well as the works of Sufi saints. He also devoured Arabic translations of the works of Aristotle and Plato.
In 1803, he secured a job with the East India Company and in 1809, he was posted to Rangpur, he stayed at Rangpur till 1814. From the Marwaris of Rangpur, he learnt about Jainism and studied the Jain texts. Roy was drawn to certain aspects of Christianity that led some of the followers of the religion to suggest that he convert; but he politely declined.