U.S. Federal Route 40 runs east-west across Clay County. This is a main highway in the northern portions of the county. U.S. Rt. 40 passes through the following towns in Clay County. Brazil Knightsville Harmony U.S. Rt. 40 is not multi-plexed in Clay County. U.S. Rt. 40 intersects the following highways in Clay County. Indiana State Route 340, at Brazil.