McKay commenced his cricket at an early age at Pascoe Vale Central Cricket Club in the North West Cricket Association (NWCA). His time there saw him presented with many accolades which included representing the NWCA at junior levels. His representation of the NWCA in the under-21 Neil Wright Shield during the 2001–02 season was the stepping stone before launching his career at Essendon Cricket Club the following season. Upon arrival at Essendon Cricket Club it was obvious to see that they had found talent. In his time at Essendon he has proven to be a talented bowling allrounder. His added to this perception of him by scoring two well-timed hundreds with the willow. At the commencement of the 2009–10 season McKay was awarded the captaincy of Essendon Cricket Club.
On 5 November 2009, after a string of injuries to key Australian bowlers, he made his ODI debut against India.2 McKay made his Test debut against the West Indies in Perth in December 2009.
On 8 March 2012, he took 5 wickets to help secure the Commonwealth Bank Tri-Series for Australia. The match was played at Adelaide Oval against Sri Lanka. McKay took an ODI hat-trick against England on 14 September 2013 in Cardiff.6