McKay was recruited by Carlton Football Club with its first round selection in the 1992 AFL Draft (No. 13 overall), although he was later personally fined $10,000 when it emerged that he had contacted four of the AFL's struggling clubs (Sydney, Brisbane Bears, Richmond and Fitzroy) and warned them that he would stay in South Australia if one of those clubs drafted him – which contravened the AFL's draft tampering rules. He nevertheless remained eligible to play for Carlton, and he made his debut in Round 1, 1993, immediately displaying the outstanding defensive skills that he had displayed at Glenelg. In his first AFL season, McKay was named on the half-back flank in the All-Australian team. He also represented South Australia at State of Origin that season, a feat he repeated in 1994 and 1995. In 1995, McKay was a member of Carlton's premiership team, the only premiership in his senior career.
Continuing with Carlton, McKay played two more matches for South Australia, and was the final winner of the Fos Williams Medal before the end of top-level State of Origin football in 1999. He made the All-Australian team as half-back flanker three times consecutively in 1999, 2000 and 2001, bringing his career tally to four. In 2003, McKay's final season, he assumed the Carlton captaincy following the mid-season retirement of Brett Ratten, and also won Carlton's Best and Fairest award for the only time in his career.
Since retiring, McKay has practised professionally as a veterinarian. In addition to this, he joined the newly formed Match Review Panel, set up in 2005 as an overhaul of the AFL Tribunal system; from 2007 until 2009, he served as Chairman of that panel. He has also been involved in the Laws of the Game Committee. In October 2011, McKay replaced Steven Icke as the General Manager of Football Operations at the Carlton Football Club.