Mercy Bay is a Canadian Arctic waterway in the Northwest Territories. It is a southern arm of M'Clure Strait on northeast Banks Island. The mouth of Castel Bay is less than 20 km to the west. These bays are a part of Aulavik National Park.

HMS Investigator

In September 1851, Captain Robert McClure's ship, HMS Investigator (1848) became ice trapped in Mercy Bay during the McClure Arctic expedition while searching for the Northwest Passage and Franklin's lost expedition. By 1853, it was finally abandoned in the bay. The crew sledged over ice to Melville Island, where they were rescued. In July 2010, Parks Canada archeologists looking for HMS Investigator found it fifteen minutes after they started a sonar scan of Banks Island, Mercy Bay, Northwest Territories. The archaeology crew had no plans to raise the ship. They did a thorough sonar scan of the area, then sent a remotely operated underwater vehicle (ROUV). The Canadian archaeologists found the ship "largely intact", sitting upright, approximately 25 ft under the Arctic Ocean. Its masts were missing, probably sheared away by the ice.