Heart of Midlothian McKay grew up supporting
Heart of Midlothian (Hearts) and joined the club from local side
Edinburgh City in July 2010, aged 17. During the 2010–11 season he gained some experience on loan at junior side
Penicuik Athletic, winning their Players' Player of the Year award. McKay was included in the first team squad for the first time on 17 December 2011, when he was an unused substitute against
Dunfermline. In May 2012, he signed a 12-month contract tying him to the club until at least the summer of 2013. In November McKay was loaned to Second Division side
Stenhousemuir on a month's loan deal, he returned to
Hearts after making four league appearances. In February 2013, McKay signed a further one-year extension committing him to the club until the summer of 2014. On 10 March 2013, McKay made his first team debut coming on as a 38th-minute substitute at
Easter Road in a
Scottish Premier League match against
Hibernian, replacing the injured
Fraser Mullen in a 0–0 draw. Throughout the pre-season of 2014–15 season McKay was given the opportunity to captain his boyhood club by head coach
Robbie Neilson when club captain
Danny Wilson was not on the field. McKay played less frequently during the 2014–15 season, as he was unable to break a defensive partnership of Wilson and
Alim Ozturk.
St Johnstone In February 2015 it was announced that McKay had signed a pre-contract agreement with
St Johnstone. McKay made his debut for the Pars in a
Scottish Cup match against
Scottish Premiership side
Ross County. His first half challenge on
Alex Schalk conceded a penalty which allowed the Staggies to take a 2–1 lead at half time. McKay redeemed himself however by scoring a header from a
Michael Paton corner in the 56th minute, with the match finishing 2–2. McKay's contribution to the side helped Dunfermline to win the
Scottish League One title, his second league title in as many years. McKay returned to
Perth at the end of his loan spell, however he was released by St Johnstone on 29 August 2016, after being deemed surplus to requirements by manager
Tommy Wright.
Inverness Caledonian Thistle On 31 August 2016, McKay signed for
Inverness Caledonian Thistle on a two-year contract after being released by fellow
Scottish Premiership side
St Johnstone.
Falkirk On 28 May 2021, McKay agreed a move to League One outfit,
Falkirk.
Kelty Hearts (loan) In January 2024, McKay joined
Kelty Hearts on loan until the end of the season.
Brechin City Following his release from Falkirk, McKay signed with
Highland Football League club
Brechin City in July 2024. ==Career statistics==