Recruited from Sydney club St George, McKay joined North Adelaide in 1946 and although he started as a centre half back he played at fullback from 1949 until his retirement. McKay was selected to the South Australian interstate side in his debut season, the first of 14 times that he would represent his state. He won the Magarey Medal in 1950, the first fullback to win the award. He captained North Adelaide for eight seasons and led them to premierships in 1949 and 1952, also captaining South Australia twice.
McKay was also notable for an overhead mark he took in the 1952 SANFL Grand Final against Norwood. The photograph of the mark captured McKay's dramatic leap over Norwood's Pat Hall and was reputedly distributed around the world.