McCaughey migrated with his family to Melbourne, Australia when he was ten years old. His secondary education was at Scotch College, Melbourne. He resided at Ormond College, University of Melbourne, where he studied Fine Arts and English Literature. He became Art Critic for the Melbourne Age in 1966. He was well known for his advocacy of abstract expressionism and of Australian artists, in particular Fred Williams.
On return to Australia from a year-long Harkness Fellowship in New York, he was appointed as the first professor of Fine Arts at Monash University in 1972. From 1981 he was the Director of the National Gallery of Victoria.
In 1988 he left Australia for the United States, where he held positions including Director of the Wadsworth Atheneum (1988–96), the Chair in Australian Studies at Harvard University, and the director of the Yale Center for British Art.
McCaughey retired in Connecticut with his partner Donna Curran. He continues to write, while his partner runs a restaurant. 
- Patrick McCaughey (June 2011). "Native grounds and foreign fields : the paradoxical neglect of Australian art abroad". Australian Book Review. 332: 11–13.
- "Patrick McCaughey—Griffith Review". Griffith Review. Griffith University. November 2005. Retrieved 17 June 2013.
- "Patrick McCaughey awarded Honorary Doctorate". Melbourne University Staff / Student E-news. University of Melbourne. 2 May 2012. Retrieved 17 June 2013.
- Peter Craven (3 November 2003). "Reality of a smiling public man". Sydney Morning Herald. Fairfax Media. Retrieved 17 June 2013.
- Wadsworth Atheneum. Retrieved 17 October 2014