McKenzie was the son of Sir John McKenzie, who founded the McKenzies retail chain. He was born in Wellington but went to school at Timaru Boys' High School and attended the University of Otago. During World War II he served in the Royal New Zealand Air Force and the Royal Air Force as a bomb aimer. He married Shirley Howard in 1948, and they had three children together - Peter, John and Robyn. He was captain of the New Zealand ski team in the 1952 Winter Olympics; the first Winter Olympics that New Zealand entered.
He worked as a chartered accountant after the war, and was the Executive Director of McKenzies (NZ) Ltd from 1949 - 1970. He also served as a director for several other companies.
From 1947 to 1993, McKenzie was on the Board of the J R McKenzie Trust, which had been established by his father in 1940 to distribute a proportion of the profits from his businesses for the benefit of the people of New Zealand. For 23 years, McKenzie chaired the Trust. He set up two other grant-making bodies: the McKenzie Education Foundation and the Roy McKenzie Foundation.
McKenzie was also patron of the Outward Bound Trust, and a councillor at the Council for Educational Research. In 1978 McKenzie helped found New Zealand's first hospice, Te Omanga. In 1990 he played a major role in setting up Philanthropy New Zealand, which was a regular meeting of charitable groups in New Zealand.
- The Roydon Heritage. 1978. The Roydon Lodge horse stud.
- Footprints - Harnessing an Inheritance into a Legacy. 1998. ISBN 0-9582046-0-8. Memoirs.
- "Sir Roy McKenzie". Victoria University of Wellington, New Zealand. Retrieved 2012-04-23.
- Horsetalk obituary
- Te Omanga - How it all began
- Philanthropy New Zealand - Our patron, a 'hands-on' philanthropist
- eFilmCritic.com Giving It All Away