McKay was born at Appleton, Wisconsin. He studied under David Starr Jordan at Appleton Collegiate Institute, Butler University and Indiana University, where he graduated as a Bachelor of Science. McKay attended Cornell University from 1875 to 1876 before transferring.
In 1881 McKay joined the U.S. Army Signal Corps. Spencer Fullerton Baird was responsible for selecting Signal Officers for the remoter stations, and would choose men with scientific training who were prepared to study the local flora and fauna. Baird sent McKay to Fort Alexander, on the north side of Bristol Bay, Alaska. McKay collected a number of plants and animals for Baird, including a pair of a new species of bird which were named McKay's Bunting in his honour.
In April 1883 McKay disappeared when out on a collecting trip in a canoe. His body was never recovered. "Foul play was suspected but never proved."
- Richard and Barbara Mearns - Audubon to Xantus ISBN 0-12-487423-1