Recruited by South Australian National Football League (SANFL) club Glenelg, McKay moved to Adelaide in 1991 and played 40 games for Glenelg as a half-back flanker, finishing second in the Magarey Medal in 1992 behind Port Adelaide's Nathan Buckley.
13 overall), although he was later 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.
[1][2] Continuing with Carlton, McKay played two more matches for South Australia, and was the 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 and McKay announced his retirement from his playing career at the end of the 2003 season.