McVeigh's first managerial job came with Partick Thistle in 1997, although it ended in relegation to the Scottish Second Division. McVeigh moved to Dunfermline Athletic as assistant manager before becoming manager of Raith Rovers in June 1999, although he was sacked within six months amidst accusations of bullying younger players. Later receiving £5,000 after a court rule in his favour, McVeigh joined Albion Rovers, spending two years at Cliftonhill before joining Stenhousemuir in 2002. Signing a number of players from Albion, McVeigh was sacked within six months with the club struggling at the bottom of the table.
In June 2009, McVeigh returned to management with Junior club Lanark United. Two months later, McVeigh was involved in an incident in which he hit a referee with a notebook, resulting in a four-year ban. McVeigh resigned from his post shortly after the incident.