The Wales manager, 42, was found dead at his home. Foul play is not suspected.
Donegal star Shay was very close to Speed after the pair played together at Newcastle.
The Lifford man was seen trying to hold back tears at Liberty Stadium today as his Aston Villa side played Swansea in the Premiership.
At Shay made his way to his goal however he broke down in tears and used his towel to wipe his face.
A source said “Shay and Speedy were very good friends and they kept in touch despite going their separate ways.
“It was Alan Smyth who told Shay earlier in the day and he was just devastated.
“Shay just can’t figure it all out.
‘Shay is a few years younger than Gary but they are both in the game a long time.”
Despite his heartache, Shay, 36, went on to play a terrific game for Aston Villa and helped them to a share of the points against Swansea.
Aston Villa manager Alex McCleish said his team had been affected by the shocking news.
“My blood ran cold when I heard the news,” he said.
“Three of ours lads knew him very well. James Collins plays for Wales and Shay Given was very close to him. He heard the news first from Alan Shearer, and Jermaine Jenas is a former Newcastle team mate. They are distraught.
“We would have understood if Swansea wanted to call the game off.”Tags: