An unsuccessful challenge for the European (EBU) Bantamweight title on 30 September 1990 saw McKenzie lose to Thierry Jacob of France.
On 30 June 1991 McKenzie became a world champion for a second time, winning the WBO bantamweight title with a 12-round decision over Gaby Canizales.
On 15 October 1992 McKenzie became a three-weight world champion, beating Jesse Benavides after twelve rounds for the WBO Super Bantamweight title.
On 18 December 1993 McKenzie became a four-weight regional champion, beating John Davison for the British Featherweight title.
An attempt to become world champion at this division ended in a knockout loss to Steve Robinson on 1 October 1994.