The definition of thy is your, or is the possessive form of thou.(adjective)
An example of thy is a man making a reference to his friend's wife by saying thy wife.
See thy in Webster's New World College Dictionary
possessive pronominal adjective
Origin: ME thi, contr. < thin, thy: see thine
See thy in American Heritage Dictionary 4
adjective The possessive form of thou1.
Origin: Middle English
Origin: , variant of thin, thine
Origin: , from Old English thīn; see tu- in Indo-European roots.