After having a slow start with a season high of 15 Disposals and 4 Marks, in his second season he suffered an injury and missed most of Essendons games. In McVeigh's third season however, it was clear that the game had grown on him as he stood up as an up-and-coming youngster. After playing 23 games in his third year of playing including the Grand Final against the Brisbane Lions in which Essendon lost, McVeigh had some promising stats with a consistent 11 – 18 in over half of every game he played. McVeigh also went on to play the next 3 seasons in stellar form with Essendon who reached 3 consecutive semi-finals in which McVeigh played in all.
In the next 3 seasons McVeigh was a stand out performer for Essendon, with a high disposal & efficiency rate he was one of the club's main contributors and eventually was to become a part of the Leadership group and a role model to his younger rookies. With disposals in the high 20's and a career high of 36 disposals, McVeigh was determined to get Essendon back on track. In 2008 McVeigh suffered an injury which sidelined him for almost half the season, nevertheless he claimed 13 Brownlow votes to his name in only 14 games, McVeigh finished in the top 20.
On 17 October 2009 McVeigh married his longtime girlfriend, Leanne Tucker. They have a daughter, Ariana, born in March 2011. Mark also had a niece, Luella (the daughter of Sydney's Jarrad McVeigh), born on 25 July 2011 but she died from heart complications barely a month later. Following Essendon's seven-point victory over Port Adelaide, its first over the side since 2004, Mark 'blew a kiss towards to the heavens' in her memory. Essendon's players wore black armbands in the match.
McVeigh retired from professional Australian Rules Football on 29 August 2012. Injuries to his hip, knee and hamstring restricted McVeigh to only three games during the 2012 season. McVeigh stated, "It's a decision that I've been to-ing and fro-ing with for about eight weeks. But I've been very fortunate to part ways with the club on really good terms," during a press conference at Windy Hill. McVeigh shared the role of Vice-Captain of the Essendon Football Club with David Hille for most of his career. McVeigh played a total of 232 games and kicked 107 goals during his successful career at Essendon.