McMahon started with Glenavon as a 14-year-old, and had only broken into the first team in the second half of the 1991–92 season, making his Irish League debut against Newry in February 1992.
He established himself in the side for the rest of the season, and it was his performance in the 4–0 Irish Cup sixth-round replay win against Glentoran that saw scouts from some of England's biggest clubs enquiring about him, and by the middle of March a transfer had been agreed with Tottenham Hotspur.
Glenavon comfortably cruised to the final of the Irish Cup, and, in his last game before his £100,000 move to White Hart Lane, McMahon scored the free-kick which defeated Linfield 2–1.
After trials with Notts County and Macclesfield Town, McMahon returned to Glenavon in August 2000, initially on a short-term contract, but after a month Colin Malone convinced him to sign a permanent deal.
McMahon was appointed club captain for the 2001–02 season, and nearly earned a surprise international recall when Sammy McIlroy came to watch him in a UEFA Cup tie against Kilmarnock.
[4] On 6 April 2019, following a goalkeeper injury crisis, McMahon briefly came out of retirement to play in nets for Lurgan Celtic, in a 3–0 away defeat to Banbridge Town.