Day, a Republican, defeated Democrat David Fried in the suburban county north of New York City.
With 100 percent of precincts reporting, Day had 52 percent of the vote to 46 percent for Fried.
Rockland's troubled finances dominated the campaign. The county has a deficit of more than $125 million and a poor credit rating.
Day said he would force every county department to start with zero and justify every dollar it needed. Fried called for economic development rather than raising taxes or cutting programs.
Day is a retired New York City police detective commander. He was also chief of detectives in Baltimore.
Day succeeds incumbent Republican Scott Vanderhoef, who did not seek re-election.