McKey attended Meridian High School in his Mississippi hometown, where he excelled on the team's basketball squad.

In addition to being a star basketball player in high school, he was a shortstop on the baseball team despite being 6 feet 10 inches (2.08 m).

He played for the US national team in the 1986 FIBA World Championship, winning the gold medal.

At the start of the 1993–94 NBA season he was traded to the Indiana Pacers along with teammate Gerald Paddio for Detlef Schrempf.

At 6'10", McKey was mostly known for his defensive skills, his emphasis on teamwork play, and his versatility, which allowed him to guard opposing players of any position.